1. (15 points) Corporate bond maturing in 30M ( 2.5 years). Coupon 6% paid semi-annually. Return of principle of $1,000 (face value) at maturity. Interest rates are flat at 2% across maturities a. Calculate the price of the bond b. Calculate the yield to maturity (YTM) c. Calculate sensitivities CSO1 and CS1\% d. Bump YTM by 1bp. Calculate P\&L for this move. Compare to CSO1. Explain the difference e. Bump the spread curve up by parallel 150bps : i. Calculate exact P\&L (reprice the bond at new spreads) ii. Approximate P\&L from CSO1 to get 150bpsP&L iii. Explain the difference 2. (6 points) 5 call option contracts (contract =100 options), S=100, Delta =0.7,Vega=0.4 ( 1bp ) a. Calculate delta equivalent of this position. Delta equivalent is defined as the amount of stock in dollars that for very small moves would be equivalent to option position b. Calculate dollar vega. Dollar vega is dollar P&L for 100bps increase in implied volatility 1. (15 points) Corporate bond maturing in 30M ( 2.5 years). Coupon 6% paid semi-annually. Return of principle of $1,000 (face value) at maturity. Interest rates are flat at 2% across maturities a. Calculate the price of the bond b. Calculate the yield to maturity (YTM) c. Calculate sensitivities CSO1 and CS1\% d. Bump YTM by 1bp. Calculate P\&L for this move. Compare to CSO1. Explain the difference e. Bump the spread curve up by parallel 150bps : i. Calculate exact P\&L (reprice the bond at new spreads) ii. Approximate P\&L from CSO1 to get 150bpsP&L iii. Explain the difference 2. (6 points) 5 call option contracts (contract =100 options), S=100, Delta =0.7,Vega=0.4 ( 1bp ) a. Calculate delta equivalent of this position. Delta equivalent is defined as the amount of stock in dollars that for very small moves would be equivalent to option position b. Calculate dollar vega. Dollar vega is dollar P&L for 100bps increase in implied volatility