There are five notes and one bond. Theoretical (not based on actual rates) on‐the‐run Treasury yields for a 2/15/22 settlement date are given with the maturities. Assume each security is priced at par. 

 

Note/Bond	Maturity	Yield/Coupon
2 - Year Note	2/15/2024	1.25%
3 - Year Note	2/15/2054	1.75%
5 - Year Note	2/15/2027	2.25%
7 - Year Note	2/15/2029	3.00%
10 - Year Note	2/15/2032	3.40%
30 - Year Bond	2/15/2052	4.20%

1. Calculate the modified duration and convexity measure in years using the below formulas. Use 10 basis points (0.10%) as the plus and minus change in yield.
2. 

Transcribed Image Text:

Approximate Duration = Approximate Convexity = P-P 2(P)(Ay) P+P-2P P.(Ay)² Approximate Duration = Approximate Convexity = P-P 2(P)(Ay) P+P-2P P.(Ay)²

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Sure I can help you with that Here are the modified duration and convexity measures for the given no... View the full answer