Calculate each bond macaulay duration-modified duration

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Reference no: EM131901128

Consider these 3 bonds:

? Parkland Fuel Corp. 5.75% bond due September 16th, 2024, trading at a YTM of 5.05%.

? Government of Canada 2.50% due June 1, 2024 trading at a YTM of 1.22%.

? Government of Canada Zero coupon bond due June 1, 2024 trading at a YTM of 1.40%.

A. Assuming a settlement date of November 16th, 2016 (for all the bonds) calculate each bond's Macaulay Duration, Modified Duration and the Convexity Measure. Note, you must also calculate the full market price of each bond to arrive at the duration and convexity figures (do not back out accrued interest). Assume that the actual/365-day count convention applies for each of these bonds.

B. Which of the 3 bonds has the greatest sensitivity to interest changes? Please explain your findings.

Reference no: EM131901128

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