Calculate the duration and convexity of a 10-year treasury, Financial Management

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Calculate the duration and convexity of a 10-year treasury

1. Calculate the duration and convexity of a 10-year Treasury note with a 4% coupon, trading at 99:8. Use a 20 basis point shock for the calculation.

2. Calculate the price value of a basis point and the yield value of a price change for a 30-year US Treasury bond with a coupon of 5%, a maturity date of 8/15/2042, a settlement date of 10/29/2012, and a price of 101:24.

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Financial Management: Calculate the duration and convexity of a 10-year treasury

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Financial Management: Calculate the duration and convexity of a 10-year treasury

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