Section Ill. Calculation Questions Instruction: 1. Show your calculation steps sufficiently clear. 2. Round your answers with 4 decimals. 1. Consider a market includes 5 different bonds whose cash flows are given by the matrix below, 1 100 4 3 2 2 2 104 3 2 2 3 103 2 2 4 102 2 5 2 6 102 Consider a flat TSIR of 3%, then bond prices are 97.09, 101.91, 100, 96.28, and 94.62, respectively (20%) A. Compute Duration and Convexity for the bonds above with 1, 2, and 3-year maturity. (8%) Give an approximation of new prices for the bonds above with 2 and 3 -year maturity, if there is a shift on the interest rate following the function y(t) = -0.001 +0.00011 (8%) C. Consider a trader whose liability is a zero-coupon bond with maturity in three years and face value 1000. Construct an immunized portfolio. (4%) Section Ill. Calculation Questions Instruction: 1. Show your calculation steps sufficiently clear. 2. Round your answers with 4 decimals. 1. Consider a market includes 5 different bonds whose cash flows are given by the matrix below, 1 100 4 3 2 2 2 104 3 2 2 3 103 2 2 4 102 2 5 2 6 102 Consider a flat TSIR of 3%, then bond prices are 97.09, 101.91, 100, 96.28, and 94.62, respectively (20%) A. Compute Duration and Convexity for the bonds above with 1, 2, and 3-year maturity. (8%) Give an approximation of new prices for the bonds above with 2 and 3 -year maturity, if there is a shift on the interest rate following the function y(t) = -0.001 +0.00011 (8%) C. Consider a trader whose liability is a zero-coupon bond with maturity in three years and face value 1000. Construct an immunized portfolio. (4%)