[3.6 Exercise 1.] Today is Mya 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration for the following securities. [Hint: Refer to the slide 3.2.3 Duration of a coupon bond. Calculate (1) discount factors from semi-annually compounded yields, (2) discounted cash flows, (3) weights, and (4) weighted average of coupon dates.] (b) 1 1/4-year coupon bond paying 6% semiannually (f) 1 1/4-year floating rate bond with 50 basis point spread, paid semiannually. Assume that the coupon applying to the next reset date has been set at r2(-0.25, 0.25) = 6.4%. Table 3.6 Yield Curve on March 15, 2000 Maturity Yield Maturity Yield Maturity Yield 0.25 6.33% 2.75 6.86% 5.25 6.39% 0.50 6.49% 3.00 6.83% 5.50 6.31% 0.75 6.62% 3.25 6.80% 5.75 6.24% 1.00 6.71% 3.50 6.76% 6.00 6.15% 1.25 6.79% 3.75 6.72% 6.25 6.05% 1.50 6.84% 4.00 6.67% 6.50 5.94% 1.75 6.87% 4.25 6.62% 6.75 5.81% 2.00 6.88% 4.50 6.57% 7.00 5.67% 2.25 6.89% 4.75 6.51% 7.25 5.50% 2.50 6.88% 5.00 6.45% 7.50 5.31% [3.6 Exercise 1.] Today is Mya 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration for the following securities. [Hint: Refer to the slide 3.2.3 Duration of a coupon bond. Calculate (1) discount factors from semi-annually compounded yields, (2) discounted cash flows, (3) weights, and (4) weighted average of coupon dates.] (b) 1 1/4-year coupon bond paying 6% semiannually (f) 1 1/4-year floating rate bond with 50 basis point spread, paid semiannually. Assume that the coupon applying to the next reset date has been set at r2(-0.25, 0.25) = 6.4%. Table 3.6 Yield Curve on March 15, 2000 Maturity Yield Maturity Yield Maturity Yield 0.25 6.33% 2.75 6.86% 5.25 6.39% 0.50 6.49% 3.00 6.83% 5.50 6.31% 0.75 6.62% 3.25 6.80% 5.75 6.24% 1.00 6.71% 3.50 6.76% 6.00 6.15% 1.25 6.79% 3.75 6.72% 6.25 6.05% 1.50 6.84% 4.00 6.67% 6.50 5.94% 1.75 6.87% 4.25 6.62% 6.75 5.81% 2.00 6.88% 4.50 6.57% 7.00 5.67% 2.25 6.89% 4.75 6.51% 7.25 5.50% 2.50 6.88% 5.00 6.45% 7.50 5.31%