Show prices to the 4th decimal place ($XX.XXXX), effective duration and convexity to the 4th decimal place (YY.YYYY), and yields to the 4th decimal place (ZZ.ZZZZ%).

Bond: 10% CouponCompounded Semiannually $100 FACE Value 17 years until maturity

Find the following if the original stated annual interest rate is 9.5%. Use an annual 10 BP (i.e., 0.1%) change in yields when calculating effective duration and effective convexity.

Calculations Q1. Original Price

Q2a. Duration (using short-cut calculation) Numerator N1 = C(1+r)/r2 N2 = 1-(1/(1+r)n) N3 = n(Par-C/r)/(1+r)n Denominator

Q2b. Duration (using Excel formula)

Q3a. Modified Duration (using equation)

Q3b. Modified Duration (using Excel formula)

Q3c. Effective Duration (using equation) Numerator Denominator

Q4a. Convexity (using short-cut calculation) Numerator N1 = 2C/r3 N2 = 1-1/(1+r)n N3 = (2C/r^2)*(n/(1+r)^(n+1)) N4 = n(n+1)(Par-C/r)/(1+r)^(n+2) Denominator

Q4b. Effective Convexity (using equation) Numerator Denominator Price after -10 BP change in yields Price after +10 BP change in yields