Problem 16-23 A 10-year maturity zero-coupon bond selling at a yleld to maturity of 6.75% (effective annual yleld) has convexity of 170.7 and modified duration of 9.06 years. A 30-year maturity 8.5% coupon bond making annual coupon payments also selling at a yleld to maturity of 6.75% has nearly identical duration9.04 yearsbut considerably higher convexity of 260.9. a. Suppose the yield to maturity on both bonds Increases to 775%. What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round Intermediate calculations. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Zero Coupon Coupon Bond Bond (8.90) (8.21) % (8.21) % (8.21) % loss Actual Predicted loss b. Suppose the yield to maturity on both bonds decreases to 5.75%. What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round Intermediate calculations. Round your answers to 2 decimal places.) Zero Coupon Bond Coupon Bond % Actual Predicted %