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Part 2.2 (9 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)
Part 2.2 (9 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 and consider a newly issued 2y floating rate note by the Treasury with $100 face value. 1. 3pts Goldman Sachs decided to break the Treasury FRN into two securities: coupon only part and the principal only part and sell those to the market separately. What is the price of the coupon only part? 2. 3pts What is the duration of the coupon only part? 3. 3pts What is the convexity of the coupon only part? Part 2.2 (9 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 and consider a newly issued 2y floating rate note by the Treasury with $100 face value. 1. 3pts Goldman Sachs decided to break the Treasury FRN into two securities: coupon only part and the principal only part and sell those to the market separately. What is the price of the coupon only part? 2. 3pts What is the duration of the coupon only part? 3. 3pts What is the convexity of the coupon only part
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