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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

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

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

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

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