A financial institution that has assets of $1 million invested in a 20-year, 8% semiannual coupon
Treasury bond selling at par. The financial institution has liabilities of $900,000 financed
through a 3-year, 6.15% semiannual coupon note selling at par.
a)	Calculate duration, modified, and convexity for the 20-year bond
	t	CF	DF	PV	PV x t	PV x t x (t + .5)		Notational value
	0.5							Coupon rate (APR)
	1.0							Years
								Duration
								Modified Duration
								Convexity
									OR
								Bond price at -.01%
								Bond price at + .01%%
								-P (at higher rate)
								+P (at lower rate)
								-P/P
								+P/P
								Convexity
								** Since the Treasury / note are selling at par,
								YTM = coupon rate **