A $13\mathrm{.}5-$year$-$maturity zero$-$coupon bond selling at a yield to maturity of $8\mathrm{.}75\%($effective annual yield$)$ has convexity of $168\mathrm{.}3$ and

modified duration of $12\mathrm{.}56$ years. A $30-$year$-$maturity $6\mathrm{.}5\%$ coupon bond making annual coupon payments also selling at a yield to

maturity of $8\mathrm{.}75\%$ has nearly identical duration$-12\mathrm{.}54$ years$-$but considerably higher convexity of $254\mathrm{.}1.$

Required:

a$.$ Suppose the yield to maturity on both bonds increases to $9\mathrm{.}75\%.$ What will be the actual percentage capital loss on each bond?

What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

b$.$ Suppose the yield to maturity on both bonds decreases to $7\mathrm{.}75\%.$ What will be the actual percentage capital loss on each bond?

What percentage capital loss would be predicted by the duration$-$with$-$convexity rule?

ANSWERS PLEASE