Problem 3 (3 points): Consider a security with a current price of $1,000,000. If the interest rate will increase from its current value of 4% to 4.2%, the value of the security will decrease to $970,000. If the interest rate will decrease from its current value of 4% to 3.8%, the value of the security will increase to $1,032,000.

All interest rates are annual interest rates with semi-annual compounding unless specified otherwise. All coupon rates are annual coupon rates paid semi-annually unless specified otherwise.

a) Estimate the DV01 of this security

b) Estimate the Duration of this security

c) Estimate the Convexity of this security