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  3. 4. suppose there is a bond with a 12% yield, 10% c

4. Suppose there is a bond with a 12% yield, 10% coupon rate, $1,000 face...

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Accounting

4. Suppose there is a bond with a 12% yield, 10% coupon rate, $1,000 face value, and 1.5-year maturity.
Compute the duration, convexity measure, duration-implied prices, and duration-and-convexity implied prices for this bond. (30 points.)
(Note: I recommend calculating the true duration and convexity, then using numerical derivatives to double-check that your duration and convexity estimates are correct.)
Duration:
Convexity measure:
(New) Yield Actual price D-implied price DX-implied price
10% $1,000.000
12% $973.270
14% $947.514 $947.034 $947.521

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