Question

Calculate the requested measures in parts (a) through (f) for bonds A and B (assume that each bond pays interest semiannually):
(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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  • CreatedAugust 22, 2015
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