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An Investor purchases a treasury bond with face value of Rs 10 Mln paying a half...

An Investor purchases a treasury bond with face value of Rs 10 Mln paying a half yearly coupon of 10% p.a. Bonds remaining maturity is 3 years.I the YTM is 12%

a. Calculate duration of the bond

b.Calculate convexity of the bond

c.If there is a 400 basis point increase in the market rate what would be the mark to market loss on the bond.

(Interest calculations to be made on continuously compounded basis)

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