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Your portfolio contains 60% of Bond I and 40% of Bond II. Details of the two bonds are given below: 10-year zero coupon government bond,

Your portfolio contains 60% of Bond I and 40% of Bond II. Details of the two bonds are given below:

10-year zero coupon government bond, par value $1000, current price = $613.91

10-year zero coupon corporate bond, par value $1000, default premium= 2%

What is the convexity of Bond II?

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