1. Assume that the following bond yields, compounded semiannu- ally:

6-month Treasury Strip: 3.00%; 1-year Treasury Strip: 3.50%; 18-month Treasury Strip: 4.00%.

(a) What is the 6-month forward rate in six months?

(b) What is the price of a semiannual 10% coupon Treasury bond that matures in exactly 18 months?

(c) The yield to maturity of this bond is 3.97%. What is the $Du- ration, $Modified Duration, Macaulay Duration, and $Convexity of this bond?

(d) Approximate the absolute profit and loss of this bond if the yield to maturity increase by 100 basis point using your answers to the last question? (Dont calculate the new price and keep two digits in your answer)