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1

You are right that if we exactly want to know the price of a bond after a change in the yield curve, we have to calculate it - and we can. What we can say about duration: it is a linear approximation of the price change if yield change, this works rather fine with plain vanilla bonds but things get more difficult e.g. with callable bonds. keeping the eye ...

2

I think what you wrote is correct. I'll rephrase everything according to my way to give you another point of view. The price of a coupon bond at time $t = 0$ is the sum of the discounted cashflows given by the coupons and the face value: $$P_0 = F \cdot D(0, T_n) + \sum_{i=1}^{n} 11.04\% \cdot 0.5 \cdot F \cdot D(0, T_i)$$ where $F$ is the face value, ...

1

First, the exact computation of conversion factor is actually quite tricky. The "6% yield" rule is really an approximation (although a very good one). CME provides a spreadsheet that you can use to compute the exact conversion factor for each bond and each contract ...

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