fixed income

Calculate the requested measures in parts (A) through (F) for bond X, assuming that it pays interest semiannually: Coupon Yield to maturity Maturity (years) Par Price Bond X 9% 8% 5 $100 $104.055 (A) (5 points) Compute its full year Macaulay duration. (B) (3 points) Compute its full year modified duration. (C) (5 points) Compute its convexity measure. (D) (5 points) Using both the modified duration and convexity measure, estimate the new price of Bond X after a 100-basis point increase in interest rates. (E) (2 points) Compare the estimated errors in part D). (F) (10 points) Find the price, Macaulay duration, modified duration and convexity if the yield specified above is Effective Annual Rate. Calculate the requested measures in parts (A) through (F) for bond X, assuming that it pays interest semiannually: Coupon Yield to maturity Maturity (years) Par Price Bond X 9% 8% 5 $100 $104.055 (A) (5 points) Compute its full year Macaulay duration. (B) (3 points) Compute its full year modified duration. (C) (5 points) Compute its convexity measure. (D) (5 points) Using both the modified duration and convexity measure, estimate the new price of Bond X after a 100-basis point increase in interest rates. (E) (2 points) Compare the estimated errors in part D). (F) (10 points) Find the price, Macaulay duration, modified duration and convexity if the yield specified above is Effective Annual Rate