Suppose that todays forward-rate curve for quarterly compounding is flat at 2% and one year later it will remain flat yet at 3%.

4. (6) A 30-year maturity coupon bond (of certain notional value) has the following krols today: key rate shift kr01 2 yrs 9.5 5 yrs 37.5 10 yrs 424.5 30 yrs 685.0 Find out the national values of 2-, 5-, 10- and 30-year swaps for key-rate hedging against the bond (Hint: use the duration formula for par bonds to calculate the kr0ls of the swaps) 4. (6) A 30-year maturity coupon bond (of certain notional value) has the following krols today: key rate shift kr01 2 yrs 9.5 5 yrs 37.5 10 yrs 424.5 30 yrs 685.0 Find out the national values of 2-, 5-, 10- and 30-year swaps for key-rate hedging against the bond (Hint: use the duration formula for par bonds to calculate the kr0ls of the swaps)