a) How much of the 8/15/20 T-bond price change is due to convexity? Assume convexity is equal to 6.628066.
b) Show the total change in the 8/15/20 T-bond price change as the sum of the convexity and duration.
B = Bd + Bc
100% 0 Sat 8:40 PM Tony Laaksonen Q E insert v Share E-AT-O Comments 4 X Delete Paste 438-2 Conditional Format Cell Ideas Sort XV Filter Find & Select Formatting as Table Format Styles Excel File Edit View Insert Format Tools Data Window Help .. AutoSave OFF A E S AS#13-Duration-3 Home Insert Draw Page Layout Formulas Data Review View Verdana (Body) 12 A A = = = aby General BIU D A $ % , | F25 X v fx A B C D E F G Today is 15-Feb-2018 Table 13.2 T-Bond Quotations | Coupon Bid Asked Chg Ask Yld 8/15/20 8.875 116.3135 Calculate -0.2188 1.921 51.7446119 2/15/41 2.375 98.5156 98.5781 -1.1016 2.398 H I J K L M N 20 Table 13.1 Table 13.2 Table 13.3 + E E - + 100% 400 8 I 4O 90w x P E 100% 0 Sat 8:40 PM Tony Laaksonen Q E insert v Share E-AT-O Comments 4 Excel File Edit View Insert Format Tools Data Window Help .. AutoSave OFF OQES5 = AS#13-Duration-3 Home Insert Draw Page Layout Formulas Data Review View Verdana (Body) 16 A A = = = aby General BI U D A SE $ % A1 x fx Today is 15-Feb-2018 A B C E F G Today is 15-Feb-2018 Table 13.3 Duration Template Delete 78-98 Ideas Sort XV Filter Find & Select Formatting as Table Format Styles H I J K L M N Datet CF PV@i (B)*(D) Totals Table 13.1 Table 13.2 Table 13.3 + E B - O + 100% 100% 0 Sat 8:40 PM Tony Laaksonen Q E insert v Share E-AT-O Comments 4 X Delete Paste 438-2 Conditional Format Cell Ideas Sort XV Filter Find & Select Formatting as Table Format Styles Excel File Edit View Insert Format Tools Data Window Help .. AutoSave OFF A E S AS#13-Duration-3 Home Insert Draw Page Layout Formulas Data Review View Verdana (Body) 12 A A = = = aby General BIU D A $ % , | F25 X v fx A B C D E F G Today is 15-Feb-2018 Table 13.2 T-Bond Quotations | Coupon Bid Asked Chg Ask Yld 8/15/20 8.875 116.3135 Calculate -0.2188 1.921 51.7446119 2/15/41 2.375 98.5156 98.5781 -1.1016 2.398 H I J K L M N 20 Table 13.1 Table 13.2 Table 13.3 + E E - + 100% 400 8 I 4O 90w x P E 100% 0 Sat 8:40 PM Tony Laaksonen Q E insert v Share E-AT-O Comments 4 Excel File Edit View Insert Format Tools Data Window Help .. AutoSave OFF OQES5 = AS#13-Duration-3 Home Insert Draw Page Layout Formulas Data Review View Verdana (Body) 16 A A = = = aby General BI U D A SE $ % A1 x fx Today is 15-Feb-2018 A B C E F G Today is 15-Feb-2018 Table 13.3 Duration Template Delete 78-98 Ideas Sort XV Filter Find & Select Formatting as Table Format Styles H I J K L M N Datet CF PV@i (B)*(D) Totals Table 13.1 Table 13.2 Table 13.3 + E B - O + 100%
