4. Assume you wish to take a long position in a forward contract with a 2-year maturity. However, this forward contact is not for delivery of a zero-coupon bond on the maturity of the forward contract. On the maturity of the forward contract, this forward contract delivers a four-year coupon bond with annual coupon payments of $80.00 and a face value of $1000.00. The current annualized forward rates with continuous compounding are the following: 0r0,1=4%0r1,2=5%0r2,3=8%0r3,4=10%0r4,5=12%0r5,6=11% (a) Based on the above forward rates, determine the appropriate price that the long position should pay for this four-year coupon-bearing bond. As in all forward contracts, the long party will not pay the delivery price until the maturity date of the forward contract. (b) What is the dollar duration for this particular forward contract, which delivers couponbearing bond? (c) Now assume you have a balance sheet that contains only a single security. This single security is a six-year zero with face value of $4050.75. The balance sheet has no liabilities. Without selling this six-year zero, how many forward contracts would you go long or short to obtain a delta of zero for your net equity. (You are to use the forward contract, which delivers the four-year coupon-bearing bond). 4. Assume you wish to take a long position in a forward contract with a 2-year maturity. However, this forward contact is not for delivery of a zero-coupon bond on the maturity of the forward contract. On the maturity of the forward contract, this forward contract delivers a four-year coupon bond with annual coupon payments of $80.00 and a face value of $1000.00. The current annualized forward rates with continuous compounding are the following: 0r0,1=4%0r1,2=5%0r2,3=8%0r3,4=10%0r4,5=12%0r5,6=11% (a) Based on the above forward rates, determine the appropriate price that the long position should pay for this four-year coupon-bearing bond. As in all forward contracts, the long party will not pay the delivery price until the maturity date of the forward contract. (b) What is the dollar duration for this particular forward contract, which delivers couponbearing bond? (c) Now assume you have a balance sheet that contains only a single security. This single security is a six-year zero with face value of $4050.75. The balance sheet has no liabilities. Without selling this six-year zero, how many forward contracts would you go long or short to obtain a delta of zero for your net equity. (You are to use the forward contract, which delivers the four-year coupon-bearing bond)