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Part 1. Calculate the duration of a three-year bond with an annual coupon of $50 paid semiannually. The face value of the bond is $1,000.

Part 1.

Calculate the duration of a three-year bond with an annual coupon of $50 paid semiannually. The face value of the bond is $1,000. The zero rates for next three years are as follows.

Maturity (years) Zero rate
0.5 4.5
1.0 4.75
1.5 5.2
2.0 5.75
2.5 6
3.0 6.25

Part 2.

Calculate the change in the bond value if the yield increases by 1% using the duration of the bond.

Part 3.

What are the differences between an initial and a maintenance margin?

What are the required deposits after a margin call?

Part 4.

What is a Eurodollar?

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