5. [10 pts] Using excel, plot graphs of the modified duration and convexity versus the note rate c (for 1% ? c ? 20%) of a 30 year, fully amortizing, fixed rate, par mortgage. Annotate cells to show work. Assume that the mortgage never prepays/curtails, nor does it ever default (we deal with these later in the course).

6. [10 pts] Use the duration and convexity for c=5% in the previous question to plot the error in the percentage price change in the mortgage when yields change in the range of 0% to 3%,

using a. Duration only, and

b. Duration and convexity together.