1. Corporate Bank has $840 million of assets with a duration of 12 years and liabilities worth $720 million with a duration of seven years. Assets and liabilities are yielding 7.56 percent. The bank is concerned about preserving the value of its equity in the event of an increase in interest rates and is contemplating a macrohedge with interest rate options. The call and put options have a delta

( ) of 0.4 and
0.4, respectively. The price of an underlying T-bond is 104–17

( ), 104 17 32 its duration is 8.17 years, and its yield to maturity is 7.56 percent.