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Bond Cash Flow discount zeroforward par curve curve curve curve Inputs Overnight 0 | 1.600% 1 | 1.900% 2 | 2.100% 3 | 2.200% 4

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Bond Cash Flow discount zeroforward par curve curve curve curve Inputs Overnight 0 | 1.600% 1 | 1.900% 2 | 2.100% 3 | 2.200% 4 | 2.450% 5 | 2.500% 6 | 2.550% 7 | 2.800% 8 | 2.850% 9 | 3.000% 10 | 3.150% 4 4 4 4 4 4 4 4 104 Cash Forwards Swaps a) Fill in discount curve, zero curve, forward curve b) Compute the PV of the bond cash flows c) Change the forward curve by +0.5% (at each maturity one at a time) and compute the discount factors and PV, DV01, duration of the bond for each case. Which forward change has the highest d) Compute the PV of the bond when increasing simultaneously all the forward rates by 1%,2%, e) What is the forward price of the bond 18 months from today? DV01? and 3% f) Compute the duration of the bond Bond Cash Flow discount zeroforward par curve curve curve curve Inputs Overnight 0 | 1.600% 1 | 1.900% 2 | 2.100% 3 | 2.200% 4 | 2.450% 5 | 2.500% 6 | 2.550% 7 | 2.800% 8 | 2.850% 9 | 3.000% 10 | 3.150% 4 4 4 4 4 4 4 4 104 Cash Forwards Swaps a) Fill in discount curve, zero curve, forward curve b) Compute the PV of the bond cash flows c) Change the forward curve by +0.5% (at each maturity one at a time) and compute the discount factors and PV, DV01, duration of the bond for each case. Which forward change has the highest d) Compute the PV of the bond when increasing simultaneously all the forward rates by 1%,2%, e) What is the forward price of the bond 18 months from today? DV01? and 3% f) Compute the duration of the bond

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