3 Calculate the requested measures in parts a through f for bonds A and B...
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Algebra
3 Calculate the requested measures in parts a through f for bonds A and B assume that each bond pays interest semiannually Coupon Yield to maturity Maturity years Par Price Bond A Bond B 9 8 8 8 2 5 1000 00 1000 00 1000 00 1004 055 a What is the price value of a basis point for bonds A and B b Compute the Macaulay durations for the two bonds c Compute the modified duration for the two bonds d Compute the approximate duration for bonds A and B using the shortcut formula by changing yields by 20 basis points and compare your answers with those calculated in part c e Compute the convexity measure for both bonds A and B f Compute the approximate convexity measure for bonds A and B using the shortcut formula by changing yields by 20 basis points and compare your answers to the convexity measure calculated in part e
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