Problem 2 Suppose the prices of zero-coupon bonds paying $100 at maturity are: Bond Price Time to maturity (years) B0,0.5 $99.55 0.5 Bo.1 $98.67 1 $97.85 1.5 $96.16 2 B0,1.5 B0,2 a. [1pt] What is the price of the 2-year coupon bond paying a coupon rate of 10% per year semiannually and a face value of $100. b. (1pt] What is the bond's yield-to-maturity? c. [2pts] What is the (Macaulay's) duration of the bond? d. [2pts) What is the convexity of the bond? e. (3pts) How much would the price of the bond change if the yield increased by 2%? Please report [1] the exact price change, [2] the approximate price change using duration, 1 and [3] the approximate price change using duration and convexity. Problem 2 Suppose the prices of zero-coupon bonds paying $100 at maturity are: Bond Price Time to maturity (years) B0,0.5 $99.55 0.5 Bo.1 $98.67 1 $97.85 1.5 $96.16 2 B0,1.5 B0,2 a. [1pt] What is the price of the 2-year coupon bond paying a coupon rate of 10% per year semiannually and a face value of $100. b. (1pt] What is the bond's yield-to-maturity? c. [2pts] What is the (Macaulay's) duration of the bond? d. [2pts) What is the convexity of the bond? e. (3pts) How much would the price of the bond change if the yield increased by 2%? Please report [1] the exact price change, [2] the approximate price change using duration, 1 and [3] the approximate price change using duration and convexity