Find the duration, modified duration, and convexity of bond

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Below are details of a semiannual bond. Please show work in Excel spreadsheet.
Par value = 1000; Maturity 4 years; Market rate if interest (yield to Maturity) = 11% per annum; Coupon rate = 8% per year paid semiannually. 

a. Find the Duration, modified duration, and Convexity of the bond. Explain the meaning and importance of the concept of duration? What is meant by the term convexity with respect to bond prices? 
b. If the yield changes by 1 % what will be the change in price and what will be new price?
c. Also calculate the delta and the gamma. 
d. Which one is a better measure of predicting price change--duration or convexity-- and why?  

Reference no: EM13154334

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