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Given the following information of a treasury bond: Maturity...

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Accounting

Given the following information of a treasury bond:

Maturity (year): 15

Coupon Rate (Annual payment): 5%

YTM: 10%

Compute Macaulays duration and modified duration.

Suppose YTM increases to 11.00%.

What is the duration implied price change P?

What is the actual price change?

Suppose you know the convexity of the bond is 130.53.

What is the price change implied by the duration and convexity?

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