Bond - Treasury

Pricing date - 22-Oct-20

Annual coupon rate - 3.50%

Number coupons per year -2

Maturity date - 22-Oct-38

Yield - 3.25%

Par value - 1,000,000GBP

3. Calculate the Price of your Bond if the Yield-To-Maturity decreases from that stated by 50 basis points; briefly explain the issues around your answer.

4. Calculate the Macauley Duration of your Bond at the given Yield-To-Maturity.

5. Calculate the Convexity of your Bond at the given Yield-To-Maturity; briefly explain the results.