Question 12 O pts Given the AB, for the 11/15/39 T-Bond in response to a 102 bps increase in yields, show: (3pt) a) How much of the bond price change is due to duration? Show the formula with inputs and solution in proper percentage format. b) How much of the bond price change is due to convexity? Show the formula with inputs and solution in proper percentage format. Given: The convexity of the 11/15/39 T-Bond - 118.9216 L A Conditional Formatting v Format as Table Cell Styles Clipboard Font Alignment Number Cells Editing Idea G14 F G Ask Yield 3.26 d., 3.95 A B C D E 1 Today is 5/15/2018 2 Table 3.3 Treasury Bond 3 Maturity Coupon Bid Asked Chg 5/15/21 4 4.25 102.5585 102.8077 -0.21 5 11/15/39 6.50 137.4301 137.7822 0.12 6 7 8 Table 3.4 Excel Duration Function 9 DURATION( settlement, maturity, coupons, yld, frequemcy, (basis]) 10 Before you write the formula identify all Inputs 11 Settlement: enter today's date as serial date number 43235 12 Maturity: enter maturity date as serial date number 44331 13 Coupons: enter annual coupon rate 14 yld: enter the bond's current annual YTM 15 Frequency: # times interest is paid per year = 16 Basis: Counting Convention # 17 18 19 20 Table 3.5 Convexity Template 21 5 22 PVCF Time-Weight Date CFL CF 23 (1+i)* (t+t)*CF 24 11/15/18 25 5/15/19 26 11/15/19 27 5/15/20 28 11/15/20 29 5/15/21 30 31 32 6 PV of TWCF (4) * (5) Question 12 O pts Given the AB, for the 11/15/39 T-Bond in response to a 102 bps increase in yields, show: (3pt) a) How much of the bond price change is due to duration? Show the formula with inputs and solution in proper percentage format. b) How much of the bond price change is due to convexity? Show the formula with inputs and solution in proper percentage format. Given: The convexity of the 11/15/39 T-Bond - 118.9216 L A Conditional Formatting v Format as Table Cell Styles Clipboard Font Alignment Number Cells Editing Idea G14 F G Ask Yield 3.26 d., 3.95 A B C D E 1 Today is 5/15/2018 2 Table 3.3 Treasury Bond 3 Maturity Coupon Bid Asked Chg 5/15/21 4 4.25 102.5585 102.8077 -0.21 5 11/15/39 6.50 137.4301 137.7822 0.12 6 7 8 Table 3.4 Excel Duration Function 9 DURATION( settlement, maturity, coupons, yld, frequemcy, (basis]) 10 Before you write the formula identify all Inputs 11 Settlement: enter today's date as serial date number 43235 12 Maturity: enter maturity date as serial date number 44331 13 Coupons: enter annual coupon rate 14 yld: enter the bond's current annual YTM 15 Frequency: # times interest is paid per year = 16 Basis: Counting Convention # 17 18 19 20 Table 3.5 Convexity Template 21 5 22 PVCF Time-Weight Date CFL CF 23 (1+i)* (t+t)*CF 24 11/15/18 25 5/15/19 26 11/15/19 27 5/15/20 28 11/15/20 29 5/15/21 30 31 32 6 PV of TWCF (4) *
