Consider $3-$year $6\%$ bond with the par of $$100$ and semi$-$

annual coupon payments. The YTM of the bond is $8\%.$

Also, suppose that the dollar duration is $253\mathrm{.}96.$

What would be the bond price if the yield were $9\%?$ What

would be the price change due to duration? What would be

the price change due to convexity?

Price $=97\mathrm{.}26$; Change due to Duration $=+2\mathrm{.}54$; Change due to

Convexity $=-0\mathrm{.}04$

Price $=96\mathrm{.}84$; Change due to Duration $=+2\mathrm{.}12$; Change due to

Convexity $=-0\mathrm{.}04$

Price $=92\mathrm{.}26$; Change due to Duration $=-2\mathrm{.}54$; Change due to

Convexity $=+0\mathrm{.}04$

Price $=92\mathrm{.}68$; Change due to Duration $=-2\mathrm{.}12$; Change due to

Convexity $=+0\mathrm{.}04$