3. An investor decides to buy USD 10,000,000 of an annual bond with a coupon of 1.75%, with exactly 3 years to maturity and giving a yield to maturity of 1.68%.

(a) Firstly, calculate the price of the bond. Do all your calculations to 2 decimal places. (10%)

(b) Now from this price calculate the Macaulay duration of the bond.

(c) Next, you should calculate the Modified duration and explain what this is telling you.

(d) And finally, calculate the BPV of the bond and explain what this is telling you. Remember for this one the market convention is to quote to 4 decimal places. Maximum word count: 100 words