5. Clean Price (5pts) - A 2 year semi-annual (m= 2) coupon bond is issued on 1/1/2020 and matures on 1/1/2022 with semi-annual coupon rate of 4% per annum and coupon dates 7/1/2020, 1/1/2021, 7/1/2021, 1/1/2022, leading to 4 coupon periods consisting of 182, 184, 181, 184 days respec- tively Date 1/1/2020 1/2/2020 Remaining Accrual Coupons (N) Fraction (w) PC, y, N,m) 4 0 1 4 1/182 6/30/2020 7/1/2020 7/2/2020 4 3 3 181/182 0 1/184 1.019889 1 1.000108 12/31/2021 1 183/184 1.01989 (d) Graph the clean and dirty price of the bond from 1/1/2020 to 12/31/2021 when its yield is held at 3%, resulting in a premium bond, C >y. Notice that in all cases, the dirty/clean prices converge to 1 as we approach maturity. This is called the pull-to-par effect. 5. Clean Price (5pts) - A 2 year semi-annual (m= 2) coupon bond is issued on 1/1/2020 and matures on 1/1/2022 with semi-annual coupon rate of 4% per annum and coupon dates 7/1/2020, 1/1/2021, 7/1/2021, 1/1/2022, leading to 4 coupon periods consisting of 182, 184, 181, 184 days respec- tively Date 1/1/2020 1/2/2020 Remaining Accrual Coupons (N) Fraction (w) PC, y, N,m) 4 0 1 4 1/182 6/30/2020 7/1/2020 7/2/2020 4 3 3 181/182 0 1/184 1.019889 1 1.000108 12/31/2021 1 183/184 1.01989 (d) Graph the clean and dirty price of the bond from 1/1/2020 to 12/31/2021 when its yield is held at 3%, resulting in a premium bond, C >y. Notice that in all cases, the dirty/clean prices converge to 1 as we approach maturity. This is called the pull-to-par effect