# Question: Calculate the requested measures in parts a through f for

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).

(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).

**View Solution:**## Answer to relevant Questions

Some authors give the following formula for the approximate convexity measure: where the variables are defined as in equation (4.24) of this chapter. Compare this formula with the approximate convexity measure given by ...State why you would agree or disagree with the following statement: As the duration of a zero-coupon bond is equal to its maturity, the price responsiveness of a zero-coupon bond to yield changes is the same regardless of ...How are spot rates related to forward rates? What actions force a Treasury’s bond price to be valued in the market at the present value of the cash flows discounted at the Treasury spot rates? Why do market participants in some countries prefer to use the swap curve rather than the government bond yield curve?Post your question