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) [4 marks] Assume a face value of $1mil, calculate today's 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) [3 marks] Assume a face value of $1mil, calculate today's 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) [5 marks] Assume a face value of $1mil, calculate today's modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. 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) [4 marks] Assume a face value of $1mil, calculate today's 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) [3 marks] Assume a face value of $1mil, calculate today's 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) [5 marks] Assume a face value of $1mil, calculate today's modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated