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Calculate the duration and convexity of the following two bonds. Which exhibits a greater sensitivity to changes in interest rates? Common elements for each bond:

Calculate the duration and convexity of the following two bonds. Which exhibits a greater sensitivity to changes in interest rates?

Common elements for each bond: Coupon: 5.5%, semi-annual coupon payments, YTM = 10%

Bond A: Time to maturity: 3 years

Bond B: Time to maturity: 11 years

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