Calculate the price value of a basis point

Reference no: EM131797658

Question: 1. Calculate the duration and convexity of a 10-year Treasury note with a 4% coupon, trading at 99:8. Use a 20 basis point shock for the calculation.

2. Calculate the price value of a basis point and the yield value of a price change for a 30-year US Treasury bond with a coupon of 5%, a maturity date of 8/15/2042, a settlement date of 10/29/2012, and a price of 101:24.

Reference no: EM131797658

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