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Calculate the duration and modified duration

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Reference no: EM133275404

Assume a bond with a coupon of 5.0% paid annually, with 10 years to maturity, and a YTM of 6.20%.

a) Calculate the duration and modified duration.

b) For the bond described in a) above, calculate the convexity.

c) Calculate the price change for a 40 basis point drop in yield using duration plus convexity.

Reference no: EM133275404

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