A US treasury bond, issued on 11/15/2016, will expire on 11/15/2026. As of 2/1/2017, this bond is

Fantastic news! We've Found the answer you've been seeking!

Question:

A US treasury bond, issued on 11/15/2016, will expire on 11/15/2026. As of 2/1/2017, this bond is yielding 2.84% and is trading at a clean (or flat) price of 95.00

1. What is the coupon of this bond? Assume semi-annual coupon payments are made to the bondholder.

2. Compute the effective duration of this bond

3. Suppose the 10-year bond yield immediately goes to 0.84% (this is the benchmark yield, assume the change was -2.00% from previous question). Estimate the change in value of the bond based on your effective duration calculation. Show your work.

4. Calculate the convexity of the bond.