An $11-$year$-$maturity zero$-$coupon bond selling at a yield to maturity of $5\mathrm{.}75\%($effective annual yield$)$ has convexity of $171\mathrm{.}9$ and modified

duration of $10\mathrm{.}06$ years. A $30-$year$-$maturity $9\mathrm{.}5\%$ coupon bond making annual coupon payments also selling at a yield to maturity of

$5\mathrm{.}75\%$ has nearly identical duration$-10\mathrm{.}04$ years$-$but considerably higher convexity of $264\mathrm{.}3.$

Required:

a$.$ Suppose the yield to maturity on both bonds increases to $6\mathrm{.}75\%.$ What will be the actual percentage capital loss on each bond?

What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

b$.$ Suppose the yield to maturity on both bonds decreases to $4\mathrm{.}75\%.$ What will be the actual percentage capital loss on each bond?

What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

Complete this question by entering your answers in the tabs below.

Suppose the yield to maturity on both bonds increases to $6\mathrm{.}75\%.$ What will be the actual percentage capital loss on each

bond? What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

Note: Input all amounts as positive values. Do not round intermediate calculations. Round your answers to $2$ decimal places.