Calculate the requested measures in parts (a) through (d) for bonds A and B (assume...
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Finance
Calculate the requested measures in parts (a) through (d) for bonds A and B (assume that each bond pays interest semiannually)
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| Bond A | Bond B |
| Coupon | 8% | 9% |
| Yield to maturity | 8% | 8% |
| Maturity (years) | 2 | 5 |
| Par | $100.00 | $100.00 |
| Price | $100.00 | $104.055 |
a) Compute the convexity measure for both bonds A and B
b) An investor bought one share of bond A and one share of bond B. What is the Macaulay duration of the investors bond portfolio? Explain the answers
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