Consider the following Treasury bonds (paying semi-annually):

a. Calculate price, Macaulay duration, modified duration and convexity for each bond.

b. A fund manager wishes to create a portfolio with a Macaulay duration of 5 years. Construct two such portfolios using the above Treasuries (each consisting of two different Treasuries). Which portfolio hashigher convexity?

Maturity Coupon YTM 1 0 5.81% 2 6.25% 6.18% 3 6.38% 6.34% 5 6.63% 6.56% 10 7.00% 6.79% 30 6.00% 6.97% Maturity Coupon YTM 1 0 5.81% 2 6.25% 6.18% 3 6.38% 6.34% 5 6.63% 6.56% 10 7.00% 6.79% 30 6.00% 6.97%