You are the portfolio manager of a large company that invests in many securities, including corporate bonds. You have been assigned the task of bond portfolio management. You are provided with the following data about bonds:

The maturity period is four years

Coupon rate 10%

Par value $1,000

Coupons on bonds are paid annually

Yield to maturity of bonds 11%

i) Using the above data, fill in the blanks in the following table

See the lecture notes for formulae ii) Based on the calculations in part i, calculate the modified duration and convexity of the bond iii) Using the modified duration, calculate the change in bond price in dollars when yield to maturity changes by two per cent iv) Using the convexity, calculate the change in bond price in dollars when yield to maturity changes by two per cent

y= yield to maturity Wt= weight for year t