6. The following table give the prices of Treasury bonds: Bond principal () Time to maturity (years) Annual coupon ($) Bond price ($) 100 0.5 100 95 0 98 1 0 100 1.5 6.2 101 100 2 8 104 1 (a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. (20 points) (b) Estimate the price of a two-year Treasury bond providing a coupon of 7% per annum. (5 points) (c) Estimate the yield of the previous bond if the price is equal to the face value (100). (5 points) (d) Use duration to approximate the change in the bond price when the yield increases by 1% from the value you calculated previously. (10 points) (e) How accurate is this approximation? (5 points) (f) Use duration and convexity to approximate the change in the bond price when the yield increases by 1%? (10 points) (g) How accurate is this approximation? (5 points)