Consider a bank with the following balance sheet: Amount (billions) Duration 3.0 5.0 Assets Liabilities 2.5 1.95 Also assume the following table of discount rates: T 0.5 Z(0,7) 0.9745 0.9490 1.0 1.5 0.9215 Calculate the 1.5 fixed swap rate. Calculate the dollar duration of the swap. What is the value of bank's equity and its dollar duration, prior to any hedging? What is the value of notional needed so that the swap position hedges any impact that parallel shifts in the yield curve may have on the value of equity? Consider a bank with the following balance sheet: Amount (billions) Duration 3.0 5.0 Assets Liabilities 2.5 1.95 Also assume the following table of discount rates: T 0.5 Z(0,7) 0.9745 0.9490 1.0 1.5 0.9215 Calculate the 1.5 fixed swap rate. Calculate the dollar duration of the swap. What is the value of bank's equity and its dollar duration, prior to any hedging? What is the value of notional needed so that the swap position hedges any impact that parallel shifts in the yield curve may have on the value of equity