15. Two firms enter into a three-year currency swap requiring semi-annual payments. By the end of the swap, how many payments the two firms have exchanged? a) 12 b) 14 c) 16 d) 10 3 16. An analyst has just calculated the average life and Macaulay duration of a new mortgage pool, based on a projected prepayment speed of 100 PSA. If the Macaulay duration of the mortgage pool is 11.7 years, what is its average life? a) 11.7 b) Greater than 11.7 c) Less than 11.7 d) Not enough information to tell 17. Suppose you use key rate durations to manage your bond portfolio's exposure to interest rate risks. If you wish to monitor and manage exposure to future shocks to three key rates, what is the minimum number of bonds you must have in your portfolio? a) Three. b) Four c) Five. d) Six