1. 1,5 and 10 year semi-annual compounded spot rates are currently 1.0%, 2.0% and 2.5%. A hedge fund has the following portfolio: o Long $200M par, 1-year zeros o Short $500M par, 5 year zeros o Long $450M par, 10 year zeros a. Calculate the market value, duration and convexity of this portfolio (use calculus, or, the numerical approach with Ai=0.001) b. Calculate the 3 partial durations of this portfolio (again use calculus, or, the numerical approach with Ai=0.001). Check that the sum of partials equals duration (it will be exact with calculus, very close with numerical methods). 1. 1,5 and 10 year semi-annual compounded spot rates are currently 1.0%, 2.0% and 2.5%. A hedge fund has the following portfolio: o Long $200M par, 1-year zeros o Short $500M par, 5 year zeros o Long $450M par, 10 year zeros a. Calculate the market value, duration and convexity of this portfolio (use calculus, or, the numerical approach with Ai=0.001) b. Calculate the 3 partial durations of this portfolio (again use calculus, or, the numerical approach with Ai=0.001). Check that the sum of partials equals duration (it will be exact with calculus, very close with numerical methods)