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Business, 21.02.2020 05:10 Honeyswish7730

A 8-year maturity zero-coupon bond selling at a yield to maturity of 9% (effective annual yield) has convexity of 155.1 and modified duration of 7.06 years. A 30-year maturity 5% coupon bond making annual coupon payments also selling at a yield to maturity of 9% has nearly identical duration—7.04 years—but considerably higher convexity of 244.8.a. Suppose the yield to maturity on both bonds increases to 10%. What will be the actual percentage capital loss/gain on each bond? What percentage capital loss/gain would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)b. Suppose the yield to maturity on both bonds decreases to 8%. What will be the actual percentage capital loss/gain on each bond? What percentage capital loss/gain would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

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A 8-year maturity zero-coupon bond selling at a yield to maturity of 9% (effective annual yield) has...
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