Question 5 (12 Marks) Assume today is 15th September 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available. Instrument Coupon Rate/Price DB07 5.75% 5.70% IRSDB07 5.75% 6.10% FUT3YR 6.00% 94.5 Required: a) Assume a face value of $1mil, calculate today's modified duration of DB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [4 marks] b) Assume a face value of $1mil, calculate today's modified duration of IRSDBDB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [3 marks] c) Assume a face value of $1mil, calculate today's modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [5 marks] Question 5 (12 Marks) Assume today is 15th September 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available. Instrument Coupon Rate/Price DB07 5.75% 5.70% IRSDB07 5.75% 6.10% FUT3YR 6.00% 94.5 Required: a) Assume a face value of $1mil, calculate today's modified duration of DB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [4 marks] b) Assume a face value of $1mil, calculate today's modified duration of IRSDBDB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [3 marks] c) Assume a face value of $1mil, calculate today's modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated. [5 marks]