Again using the Excel template, set the term structure to be flat at 5% with a 1% twist and 1% butterfly (leaving the second butterfly parameter at 2). On the "Second scenario" tab, set the coupon to be 4.0% Calculate and fill in the values for cells $B19:$D19. The 0.1% up and down moves are shifts of the whole term structure. What's the duration for this bond in this market environment? Question 24 5 pts Same setup as #23. What is the convexity? Term Structure Changes to spot rates Level: 5.00% Shift: 0.00% Twist: 0.00% Butterfly: 0.00% 2.00 15-Mar-18 0.00 15-Sep-18 0.50 2.00 5.00% 15-Mar-19 1.00 1.50 5.00% 5.00% Date Time IT-t 2 15-Mar-18 B 15-Sep-18 1 15-Mar-19 5 15-Sep-19 15-Mar-20 -7 15-Sep-20 B Spot 15-Sep-19 15-Mar-20 1.50 2.00 1.00 0.50 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 0.00 0.50 1.00 1.50 2.00 2.50 15-Sep-20 2.50 0.00 5.00% 5.00% 5.00% 5.00% 5.00% 15-Mar-21 3.00 -0.50 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 2 8.00% 7.00% 2 6.00% 5.00% B 1 5 5 spot yield 4.00% 3.00% 2.00% 1.00% VO B 9 0.00% 0.50 1.00 1.50 2.00 2.50 3.00 1 2 3 1 FO Mar 2021n 2375% 1000.00 15-Mar-18 p-18 15-Mar- 0019 0.00 O 8 8 ON EEEEEEE EEEEEE ONU NWU NOPE MO Ego FOOOO a bolo 1.00% 2.00% 5 m $ NaN TN * Price Change Estimation Difference ee Again using the Excel template, set the term structure to be flat at 5% with a 1% twist and 1% butterfly (leaving the second butterfly parameter at 2). On the "Second scenario" tab, set the coupon to be 4.0% Calculate and fill in the values for cells $B19:$D19. The 0.1% up and down moves are shifts of the whole term structure. What's the duration for this bond in this market environment? Question 24 5 pts Same setup as #23. What is the convexity? Term Structure Changes to spot rates Level: 5.00% Shift: 0.00% Twist: 0.00% Butterfly: 0.00% 2.00 15-Mar-18 0.00 15-Sep-18 0.50 2.00 5.00% 15-Mar-19 1.00 1.50 5.00% 5.00% Date Time IT-t 2 15-Mar-18 B 15-Sep-18 1 15-Mar-19 5 15-Sep-19 15-Mar-20 -7 15-Sep-20 B Spot 15-Sep-19 15-Mar-20 1.50 2.00 1.00 0.50 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 0.00 0.50 1.00 1.50 2.00 2.50 15-Sep-20 2.50 0.00 5.00% 5.00% 5.00% 5.00% 5.00% 15-Mar-21 3.00 -0.50 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 2 8.00% 7.00% 2 6.00% 5.00% B 1 5 5 spot yield 4.00% 3.00% 2.00% 1.00% VO B 9 0.00% 0.50 1.00 1.50 2.00 2.50 3.00 1 2 3 1 FO Mar 2021n 2375% 1000.00 15-Mar-18 p-18 15-Mar- 0019 0.00 O 8 8 ON EEEEEEE EEEEEE ONU NWU NOPE MO Ego FOOOO a bolo 1.00% 2.00% 5 m $ NaN TN * Price Change Estimation Difference ee