Repeat the analysis of Example 6.8, but now consider a bond maturing in five years. For the nonparallel shift, assume a new term structure of rates linearly increasing from \(3 \%\) to \(5 \%\), so that the average is \(4 \%\) in both cases, parallel and nonparallel shifts. In the second case, the rates for the ten maturities (six months, one year, one year and a half, all the way up to five years) are

Do you still observe a small loss as in Example 6.8? What if you increase the maturity of the zero to three or five years?

Data From Example 6.8

Data From Example 6.2

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3%, 3.22%, 3.44%, 3.67%, ..., 4.56%, 4.78%, 5%.