What is the convexity of the note

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Consider a Treasury note that matures in 7.27 years, has a coupon rate of 5.22%, and pays a semi-annual coupon. The yield to maturity associated with this bond is 1.28% when quoted on a semi-annual compounding basis. Please answer the following:

1. What is the quoted price of the note

2. What is the duration of the note?

3. What is the convexity of the note?

4. Please use both convexity and duration to estimate the expected change in the value of the bond as the yield to maturity decreases by 125 basis points.

Reference no: EM131607860

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