Assume a $6-$month holding period and that you collect semi$-$annual $1$ coupon payment.

Calculate the returns for portfolios $1$ and $2$ under the following $6$ parallel yield curve

shift scenarios:

Delta Y

$-2\mathrm{.}00\%$

$-1\mathrm{.}00\%$

$-0\mathrm{.}50\%$

$+0\mathrm{.}50\%$

$+1\mathrm{.}00\%$

$+2\mathrm{.}00\%$