Consider a bank with the following balance sheet (M means million): Duration of the Asset Assets Syr bond bought at a yield of 3.4% (lending money) Value $550M Convexity of the Asset 12.026 4.562 $800M 9.453 53.565 12yr bond bought at a yield of 4% (lending money) Value $300M Duration of the Liability Convexity of the Liability 1.941 2.384 Liabilities 2yr bond sold at a yield of 2.4% (borrowing money) 4yr bond sold at a yield of 2.8% (borrowing money) $500M 3.759 8.206 b) Calculate the duration and convexity of the both asset and liability sides; (8 marks)