Assume today is 15th September 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available.

Instrument	Coupon	Rate/Price
DB07	5.75%	5.70%
IRSDB07	5.75%	6.10%
FUT3YR	6.00%	94.5

Required: a) Assume a face value of $1mil, calculate todays modified duration of DB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.

b) Assume a face value of $1mil, calculate todays modified duration of IRSDBDB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.

c) Assume a face value of $1mil, calculate todays modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.