Calculate modified duration and convexity measure in years

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Reference no: EM132182390

Question - Use the following information as your starting point. There are five notes and one bond. Theoretical on-the-run Treasury yields for a 9/12/18 settlement date are given with the maturity. Assume each security is priced at par.

Note/Bond Maturity Yield (%)

2-Year Note 9/12/2020 2.70%

3-Year Note 9/12/2021 2.80%

5-Year Note 9/12/2023 2.90%

7-Year Note 9/12/2025 3.00%

10-Year Note 9/12/2028 3.10%

30-Year Bond 9/12/2048 3.15%

Calculate the modified duration and convexity measure in years using the approximation.

Reference no: EM132182390

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