Business, 14.08.2019 08:20 martinhannaheovgtjp

A12.75-year maturity zero-coupon bond selling at a yield to maturity of 8% (effective annual yield) has convexity of 150.3 and modified duration of 11.81 years. a 30-year maturity 6% coupon bond making annual coupon payments also selling at a yield to maturity of 8% has nearly identical modified durationâ-11.79 yearsâ-but considerably higher convexity of 231.2. a. suppose the yield to maturity on both bonds increases to 9%. what will be the actual percentage capital loss on each bond? what percentage capital loss would be predicted by the duration-with-convexity rule? (do not round intermediate calculations. round your answers to 2 decimal places.) b. suppose the yield to maturity on both bonds decreases to 7%. what will be the actual percentage capital gain on each bond? what percentage capital gain would be predicted by the duration-with-convexity rule? (do not round intermediate calculations. round your answers to 2 decimal places.)

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A12.75-year maturity zero-coupon bond selling at a yield to maturity of 8% (effective annual yield)...

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