Use the following data.

Table 1

A. Calculate the price and duration of each bond for yields-to-maturity of 2, 4, 6, 8, and 10%. Report the results in separate tables for each bond. Your table for the 1.5s of 2020 should look like Table 2.

Table 2

B. Plot each bond's price against the different yields-to-maturity.

1. Which bond exhibits the greatest convexity?

2. Which bond has the most volatile price?

NOTE: To draw this chart in Excel, follow the directions for creating an XY Scatter chart in Homework 2 (or watch the video on the Unit 4\Problem 4 page). For these graphs, however, you will need to Add four separate Y series (one for each bond) and fill in the Name boxes. Use Yield to Maturity as the X series.

C. In another chart, plot each bond's duration against the different yields-to-maturity.

1. Which bond's duration is the most sensitive to changes in market yield?

2. The 1.5 and 3.25 coupon bonds have the same time remaining to maturity. Why is the duration of the 1.5s longer than that of the 3.25s?

Basis Settlement date 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 Maturity date 1-Oct-23 1-Oct-23 1-Oct-40 1-Oct-50 Coupon 0.0150 0.0325 0.0315 0.0425 Yield to Maturity Frequency 0.0018 0.0018 0.0101 0.0120 NNNN OOOO Redemption Duration 100 2.95 100 2.89 100 15.86 100 20.54 Price 103.95 109.18 138.67 176.65 Frequency Basis Settlement date 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 Maturity date 1-Oct-23 1-Oct-23 1-Oct-23 1-Oct-23 1-Oct-23 Coupon 0.0150 0.0150 0.0150 0.0150 0.0150 Yield to Maturity 0.020 0.040 0.060 0.080 0.100 NNNNN Redemption Duration 0 100 2.94 0 100 2.94 0 100 2.94 0 100 2.94 0 100 2.94 Price 98.55 93.00 87.81 8296 78.43 Basis Settlement date 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 Maturity date 1-Oct-23 1-Oct-23 1-Oct-40 1-Oct-50 Coupon 0.0150 0.0325 0.0315 0.0425 Yield to Maturity Frequency 0.0018 0.0018 0.0101 0.0120 NNNN OOOO Redemption Duration 100 2.95 100 2.89 100 15.86 100 20.54 Price 103.95 109.18 138.67 176.65 Frequency Basis Settlement date 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 1-Oct-20 Maturity date 1-Oct-23 1-Oct-23 1-Oct-23 1-Oct-23 1-Oct-23 Coupon 0.0150 0.0150 0.0150 0.0150 0.0150 Yield to Maturity 0.020 0.040 0.060 0.080 0.100 NNNNN Redemption Duration 0 100 2.94 0 100 2.94 0 100 2.94 0 100 2.94 0 100 2.94 Price 98.55 93.00 87.81 8296 78.43