A) Consider the following 3 bonds:

1. US Gov't Treasury Bond 2.375%due May 15, 2029trading at a yield to maturity of 0.621%.Assume a settlement date of May 22nd, 2020.
2. US Gov't Strip (Zero) Bonddue May 15, 2029trading at a YTM of 0.718%.Assume a settlement date of May 22nd, 2020.
3. Loblaws Corp. Bond 6.50%due January 22, 2029trading at a YTM of 2.534%.Assume a settlement date of May 26th, 2020.

Calculate each bond's Macaulay Duration, Modified Duration and the Convexity Measure.Note, you must calculate thefullmarket price of each bond to arrive at the duration and convexity figures (do not back out accrued interest).

Assume that for the US treasury bonds (a and b) theactual/actualday count convention applies.For the actual/actual day count convention use the actual days in the 6 month period for the denominator (for example: 181 days).For bond c) assume the actual/365 day count convention.

B)Using your results from Part A above, which of the three bonds is theleastsensitive to interest rates? Why is this the case?