question 14 only. Note: there is a misprint. It should read dv/di = -800

The current price of an annual coupon bond is 100. The derivative of the price of the bond with respect to the yield to maturity is -650. The yield to maturity is an effective rate of 7%. a) Calculate the Macaulay duration of the bond. 6. b) Estimate the price of the bond using formula (11.6) when the yield rate is 8% instead of 7%. 14. Rework Exercise 6 to obtain a refined answer using convexity as well as modified duration. The value of is given to be 800. di The current price of an annual coupon bond is 100. The derivative of the price of the bond with respect to the yield to maturity is -650. The yield to maturity is an effective rate of 7%. a) Calculate the Macaulay duration of the bond. 6. b) Estimate the price of the bond using formula (11.6) when the yield rate is 8% instead of 7%. 14. Rework Exercise 6 to obtain a refined answer using convexity as well as modified duration. The value of is given to be 800. di