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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Bond A 8% 8% Bond B 9% 8% Coupon Yield to maturity Maturity (years) 2 Par $100.00 $100.00 Price S100.00 $104.055