1, 5 and 10 year semi-annual compounded spot rates are currently 0.8%, 1.4% and 2.0%. An investor has the following portfolio:

Long $100M par, 1-year zeros Short $250M par, 5-year zeros

Long $250M par, 10-year zeros

a. Calculate the market value and 3 partial durations of this portfolio (use calculus, or, the numerical approach with i=0.001).

b. Calculate the gain or loss on this portfolio given the second principal component on Hulls Table 9.6.