Question 6 Table 2 contains prices, durations and convexities for three coupon bonds. a) What is the duration and convexity of a portfolio that is long $51,124 million of the 5-year and $50 million of the 10-year? b) A second portfolio that is long 3386.538 million of the 5-year and 3313.462 million of 30-year has been created to have the same value and duration as the portfolio of part a). Which of the two portfolios has the greater convexity and why? Table 2: Bond prices. durations and convexities for three bonds mm [10 marks]