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C)Estimate the Duration for each of the following thuree bonds, all of which trade at a yield to maturity of S percent and have face values of $100 (2) Estimate the Convexity as well. YTM 5% 10-year 7% annual coupon bond 10-year 4% annual coupon bond 10-year 7% semi-annual coupon bond 3

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Answer #1

Duration of all the Bonds are attached in the picture.

For Convexity Calculation formulae can be used attached01 Cash Flow FV @ 5% 0 0577 0 0550 0,0524 0,0499 0.0475 0.0452 0.0431 0,0410 0.0391 54.85 10 1,070.00 656.89 1,154.43 Q2 | PV @ 5% Proportion ofTotalValue Time. Proportion of Total Val.e Pd Cash Flow 36.28 34.55 32.91 31.34 29.85 28,43 40 27.07 4025.78 638.47 922.78 00413 0,0393 0.0374 0.0357 0,0340 0.0323 0.0308 0.0293 0,0279 0.6919 0.22 0.0295 0.0288 0.0281 0.0274 0.0268 0.0261 0.0255 0.0249 0.0242 0.0237 0.0231 0.0225 0.0220 0.0214 0.0209 0.0204 0.0199 0.0194 0.0189 0.5464 Duration 33.31 32.50 30.93 30.18 29.44 28.73 28.03 26.68 26.02 25.39 23.58 22.44 21.89 631.63 1,155.89 20 1035 10.93 15.13 2.

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