1.What is the price change factoring in both modified duration and convexity of a 25 bps increase in rates for a 5 year, 3.5% coupon semiannual pay bond with a YTM currently at 3.7%?

($9.19)

($10.19)

($11.19)

($8.19)

2.A portfolio holds four bonds with durations of 7.3, 4.2, 3.1, and 12.2 with market values for each in the portfolio at $5 million, $3 million, $3 million, and $2 million, respectively.What is the duration of the bond portfolio?

4.87

5.37

6.37

5.87

3.What is the static yield for a 5-year, 6% coupon semiannual pay bond that is currently priced at $920 when the Treasury spot yields are as shown below?

Period spot rate

1 5.200%

2 5.300%

3 5.400%

4 5.500%

5 5.600%

6 5.700%

7 5.800%

8 5.900%

9 6.000%

10 6.100%

a)1.92%

b)2.25%

c)1.78%

d)2.52%