An investor is planning to invest $1 million as given below:

Safari 05:53 Thu Feb 4 Thu Feb 4 100% + TO 4. An investor is planning to invest $1 million as given below: 40% in 9.25 year coupon bond paying 5% semiannually. 20% in 15-year coupon bond paying 3% semiannually. 15% invested in 10.75 -year floating rate bond with 30 bp spread paid and with initial coupon rate of 4.5% semiannually. 15% invested in 2-year zero coupon bond. 5% invested in 5-year coupon bond paying 4% quarterly. 5% invested in 10-year floating rate bond with 20 spread paid quarterly. Spreadsheet Q4 column B contains continuously compounded spot rate curve for each time point in column A. (a) Complete the cashflow column of each bond in Q4 spreadsheet. Aassume face value is 100. With the complete cashflow information, compute each of the following items. (b) Price of each investment per 100 face value. (c) Project the portfolio cashflow in column J. (d) Duration of each security and the portfolio in D66 to J66. (e) Convexity of each instrument and the portfolio in D67 to J67. (f) Estimated price of the portfolio after 1% (in cell K1) parallel shift of interest rates in D70. (g) Exact price of the portfolio after 1% (in cell Kl) parallel shift of rates in D71. (You must fill columns K and L) Safari 05:53 Thu Feb 4 Thu Feb 4 100% + TO 4. An investor is planning to invest $1 million as given below: 40% in 9.25 year coupon bond paying 5% semiannually. 20% in 15-year coupon bond paying 3% semiannually. 15% invested in 10.75 -year floating rate bond with 30 bp spread paid and with initial coupon rate of 4.5% semiannually. 15% invested in 2-year zero coupon bond. 5% invested in 5-year coupon bond paying 4% quarterly. 5% invested in 10-year floating rate bond with 20 spread paid quarterly. Spreadsheet Q4 column B contains continuously compounded spot rate curve for each time point in column A. (a) Complete the cashflow column of each bond in Q4 spreadsheet. Aassume face value is 100. With the complete cashflow information, compute each of the following items. (b) Price of each investment per 100 face value. (c) Project the portfolio cashflow in column J. (d) Duration of each security and the portfolio in D66 to J66. (e) Convexity of each instrument and the portfolio in D67 to J67. (f) Estimated price of the portfolio after 1% (in cell K1) parallel shift of interest rates in D70. (g) Exact price of the portfolio after 1% (in cell Kl) parallel shift of rates in D71. (You must fill columns K and L)