] Consider the following bond (assume: credit risk free, no embedded options, pays interest semiannually): COUPON=9%, YTM=8%, TERM(5 YEARS), PAR=100.00

Compute the following

(a)The price value of a basis point;

(b)The exact Macaulay duration;

(c)The exact modified duration;

(d) An approximate value for the modified duration, obtained by changing the yield by 20bp (i.e., use numerical approximation to compute the first derivative). How does it compare to the exact value obtained in part (c)?

(e) The exact convexity measure;

(f) An approximate value of the convexity measure (i.e., use numerical approximation to compute the second derivative), obtained by changing the yield by 20bp. How does it compare to the exact value obtained in part (e)?

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