Problem 6) & a) Consider a 5-year semiannual bond with a coupon of 5% (annualized) and a yield of 6.00% Calculate its price and then its duration. b) Now calculate the price again by changing the yield to 6.50%. What is the actual percent price change relative to the price in part a)? c) Show that AB =-DAY B holds approximately. What is the error relative to your actual percent price change? d) Now calculate the Convexity. Repeat part c) using ---Day+=C(Ay)? ? = B Does this reduce the error? Note: You always use the duration and convexity calculated for the base case in part a). You don't recalculate them in part b)