An $11\mathrm{.}25-$year$-$maturity zero$-$coupon bond selling at a yield to maturity of $6\%($effective annual yield$)$ has convexity of $152\mathrm{.}7$ and modified duration of $10\mathrm{.}31$ years. A $30-$year$-$maturity $8\%$ coupon bond making annual coupon payments also selling at a yield to maturity of $6\%$ has nearly identical duration$10\mathrm{.}29$ years$$but considerably higher convexity of $238.$

Required:

Suppose the yield to maturity on both bonds increases to $7\%.$ What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

Suppose the yield to maturity on both bonds decreases to $5\%.$ What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?