34) For the bond below, during your holding period, you achieved a reinvestment rate of 8% on a bond equivalent yield basis. Calculate the value at the sale date of all reinvested coupons.

Holding period yield (HPY)

Last coupon date pre-purchase 7/15/2016

First coupon date post-purchase 1/15/2017

Purchase price (clean) 90.000

Purchase (settlement) date 10/1/2016

Sale price (clean) 92.000

Sale date 2/10/2022

Coupon rate 5.00%

Coupon Semi-annual

Convention 30/360

35) Using the bond below, calculate your annual holding period yield (on a bond equivalent basis).

Holding period yield (HPY)

Last coupon date pre-purchase 7/15/2016

First coupon date post-purchase 1/15/2017

Purchase price (clean) 90.000

Purchase (settlement) date 10/1/2016

Sale price (clean) 92.000

Sale date 2/10/2022

Coupon rate 5.00%

Coupon Semi-annual

Convention 30/360

38) Calculate the DV01 of a 10-year 7% semi-annual coupon bond priced at 97.50. 39) Estimate the price impact of a 50-basis point interest rate change using a linear approximation of a 10-year 7% semi-annual coupon bond priced at 97.50.

40) Calculate the modified duration of a 10-year 7% semi-annual coupon bond priced at 97.50.

41)You own a $1m par value 10-year, 7% semi-annual coupon corporate bond priced at 105. You would like to hedge against interest rate risk and find a 10-year, 5% semi-annual coupon T-bond priced at 110. How much of the T-bond par value would you need to short to provide the most effective interest risk hedge strategy?

44) A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. Assuming a 30/360-day count convention, calculate modified duration (using the dirty price).