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The following price information for four (semi-annual coupon) bonds are trading to yield 5%: Assuming all four bonds are selling to yield 5%, compute the

The following price information for four (semi-annual coupon) bonds are trading to yield 5%:

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Assuming all four bonds are selling to yield 5%, compute the convexity measure for each bond using a 25 basis point rate change.

Bond A Bond B Bond C Bond D 8% coupon, coupon,coupon, Coupon, 25 yrs 3.00% | 107.4859 | 134.9997 | 118.7148 | 187.4992 4.00% | 103.6627 | 115.7118 | 114.6510 | 162.8472 4.50% | 101.8118 | 107.4586 | 112.6826 | 152.2102 4.75% | 100.9011 | 103.6355 | 111.7138 | 147.2621 4.90% | 100.3593 | 101.4324 | 111.1374 | 144.4042 5.00% | 100.0000 | 100.0000 | 110.7552 | 142.5435 5.10% | 99.6423 | 98.5959 | 110.3746 | 140.7175 5.25% | 99.1085 | 96.5416 | 109.8066 | 138.0421 5.50% | 98.2264 | 93.2507 | 108.8679 | 133.7465 6.00% | 96.4902 | 87.1351 | 107.0197 | 125.7298 7.00% | 93.1260 | 76.5444 | 103.4370 | 111.7278 5% 5% 8% Yield 4 vrs 25 yrs 4 yrs

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