One year ago, the 30-year U.S. Treasury Bond with a coupon of 2% had a yield of

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Question:

One year ago, the 30-year U.S. Treasury Bond with a coupon of 2% had a yield of 1.95% and the 2-year U.S. Treasury Note with a coupon of 0.125% had a yield of 0.2%. (data as of August 18, 2021). These follow the BEY convention. Compute the prices of the bonds as a percentage of par. To illustrate the dangers of investing in bonds at a time when interest rates are at an all-time low, re-compute the prices twice assuming yields of both bonds increase by 1% (e.g., from 0.2% to 1.2%) or 2% (e.g., from 0.2% to 2.2%).

What are the percentage changes in price for both bonds?

What does this illustrate about the role of duration in determining a bond's interest rate sensitivity?