Evaluate the following pure-yield pickup swap: You currently hold a 20-yearm AA-rated, 9% coupon rate bond with yield to maturity of 11.0%. As a swap candidate, you are considering a 20-yearm AA-rated, 11% coupon rate bond with yield to maturity of 11.5%, assume reinvestment rate is 11.5% and coupon are paid semi-annually, please fill out the table below and you must show (explain) clearly how numbers in the table are obtained.

Current Bond Candidate Bond

Dollar Investment ______________ _________________

Coupon ______________ _________________

i on one coupon ______________ _________________

Principal Value at year end ______________ __________________

Realized Coupon Yield ______________ __________________

Value of swap: ______________ Basis point in one year