Suppose that you are given the following zero-curve (interest rates are per year rates, but compounded semi-annually): t0.5 1 1.5 2 r 0.03 0.04 0.05 0.06 1. Calculate the value of a 2-year Treasury bond with a 4% coupon rate, coupons paid semi-annually, and a face value of $1000. 2. Calculate the modified duration and convexity of the bond in (1). You can use the approximation formulas from class. What is the approximate percentage change in the bond price if the zero-curve shifts down by one percentage point (i.e. r2,0.5 = 0.02, 12,1 = 0.03, etc.)