Below are details of a semiannual bond.

Par value = 1000

 Maturity 4 years

Market rate if interest (yield to Maturity) = 11% per annum; Coupon rate = 8% per year paid semiannually.

a.    Find the Duration, modified duration, and Convexity of the bond.

b.    If the yield changes by 1 % what will be the change in price and what will be new price?

c.     Calculate the delta and the gamma.

d.    Which one is a better measure of predicting price change–duration or convexity and why?