Chapter 11 Problem 23 (a) Calculate the convexity of the 8% coupon bond at the initial yield to maturity of 10%. (b) What is the convexity of the zero-coupon bond? Chapter 11 Problem 23 Student Name: Course Name: Student ID: Course Number: Use the Excel Applications model below to answer this question. Interest rate: t2+1 Payment Time until Payment (Years) 1 2 3 A.8% coupon bond 80 80 10NO Payment Discounted at 10% 80.000 80.000 1080.000 1240.000 t2++ 2 6 12 X PV 160.0000 480.0000 12960.00) 13600.0000 Sum: B. Zero-coupon bond 1 2 3 0 0 1000 0.000 0.000 1000000 1000.000 2 6 12 0 0.0000 0.0000 12000.0000 12000.0000 Sum: (a) Calculate the convexity of the 8% coupon bond at the initial yield to maturity of 10% Convexity FORMULA (b) What is the convexity of the zero-coupon bond? Convexity FORMULA