1- Assume that the 3.95% US Treasury bond that matures on 15 August 2041 is priced to yield 5.14% for settlement on 15 November 2014. Coupons are paid semiannually on 15 February and 15 August. The yield-to-maturity is stated on a street-convention semiannual bond basis.

1. Using the formula showing all calculations, calculate the full price of the US Treasury if the yield is 5.14%?
2. Compute the approximate modified duration and the approximate Macaulay duration for this Treasury bond assuming a 5 bp change in the yield-to-maturity. Show all the necessary calculations using appropriate formulas.

2- Consider a 20-year, semiannual-pay bond with an 8% coupon that is currently priced at $799.608 to yield 10.5%. If the yield changes by 50 basis points, the price of the bond will also change. Based on these price and yield changes, calculate the effective or approximate duration of this bond.

3- A 5.25% US corporate bond is priced for settlement on 27th July, 2015. The bond makes semiannual coupon payments on 15th June and 15th December each year and matures on 15 December 2026. The bond uses the 30/360 day-count convention for accrued interest. Calculate the full price, the accrued interest, and the flat price per $100 of par value for three stated annual yields-to-maturity: (A) 4.75%, (B) 5.25%, and (C) 5.75%. Also calculate the full price, the accrued interest and the flat price for the 30/360 day-count convention.