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Compute the duration and convexity of a 10-year Treasury bond, with coupon 3% and price 102-13....

Compute the duration and convexity of a 10-year Treasury bond, with coupon 3% and price 102-13.

Note:

1. Treasuries are semiannual.

2. The price quote “aaa-bb” means aaa+b/32 dollars.

3. Treasuries are non-callable bonds

Solutions

Expert Solution

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

jeff jeffy answered 2 years ago
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