Answer the following questions. Please put your answers in the orange shaded area. Q1 You observe the following bond. Build the discount factor for each maturity? Date No. of Years from Today DF Today Bond A B C D E F 01-Jan-22 Price 970 940 910 980 1050 1100 Principal 1000 1000 1000 1000 1000 1000 0.5 1 1.5 2 2.5 3 Maturity Semi-annual Coupon rate Coupon Payment 01-Jul-22 0.0% 0 01-Dec-22 0.0% 0 01-Jul-23 0.0% 0 01-Dec-23 6.07 30 01-Jul-241 10.0% 50 01-Dec-24 12.0% 60 Q2 Given the following SWAP terms, find the swap rate? Starting Date Notional Amount Settlement Period SWAP Rate 01-Jan-22 1000000 every 6 months Q3 Suppose you are now at March 2022 and bond prices have changed, either going up or going down. For each scenario, you are given the corresponding new discount factors (DFs). Calculate the value of the swap for the fixed rate payer ender each scenario Today SAIBOR on the previou 01-Mar-22 7% Scenarios Bonds Price increases Bond Prices decreases Date DF DF 01-Jul-22 0.98 0.960 01-Dec-22 0.95 0.930 01-Jul-23 0.92 0.900 01-Dec-23 0.88 0.859 01-Jul-24 0.83 0.814 01-Dec-24 0.79 0.772 Value if Bond Price is Up Value if Bond Price is Up