Part 2.1 (6 pts) Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo ly 18mo 2y r2(0,T) 2% 2.25% 2.5% 3% B(0,T) 0.9901 0.9779 0.9634 0.9422 1. 2pts What is the price of a 1.5y note with 2% coupon payments and face value $100? 2. 2pts What is the modified duration (with respect to continuously compounded interest rates) of a 1.5y note with 2% coupon payments? 3. 2pts What is the convexity (with respect to continuously compounded interest rates) of a 1.5y note with 2% coupon payments? Part 2.1 (6 pts) Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo ly 18mo 2y r2(0,T) 2% 2.25% 2.5% 3% B(0,T) 0.9901 0.9779 0.9634 0.9422 1. 2pts What is the price of a 1.5y note with 2% coupon payments and face value $100? 2. 2pts What is the modified duration (with respect to continuously compounded interest rates) of a 1.5y note with 2% coupon payments? 3. 2pts What is the convexity (with respect to continuously compounded interest rates) of a 1.5y note with 2% coupon payments