The First Frog Federal Bank has the following market value asset/liability structure: Assets $100,000,000 Asset duration (modified) 8.0 Liabilities 85,000,000 Liability duration (modified) 0.5 Frog's management is considering using either T-Bond futures (a) or bond options (b) to hedge its exposure. Please answer both part (a) and (b): a) The bond futures have a DV01 (Dollar value of a basis point) of $90.00 per contract. How many futures contracts would the bank trade in order to fully hedge its exposure? b) Assume the bank did NOT hedge using futures contracts. Instead, assume that the bank is considering purchasing a put option with the following characteristics: T-Bond Put Option Underlying Asset: T-Bonds with a modified duration of 10.0; T-Bond Put Option Delta: -0.40 (per dollar of bond value) ; T-Bond Put Option Cost: 2.0% of Principal (quantity of underlying bonds) Assume Frog Decides to buy a put option on $100 million (market value) of T-bonds. If interest rates rise by 50 basis points after the bank purchases the option, what is your best estimate of how much equity the bank would have (after rates rise)? The First Frog Federal Bank has the following market value asset/liability structure: Assets $100,000,000 Asset duration (modified) 8.0 Liabilities 85,000,000 Liability duration (modified) 0.5 Frog's management is considering using either T-Bond futures (a) or bond options (b) to hedge its exposure. Please answer both part (a) and (b): a) The bond futures have a DV01 (Dollar value of a basis point) of $90.00 per contract. How many futures contracts would the bank trade in order to fully hedge its exposure? b) Assume the bank did NOT hedge using futures contracts. Instead, assume that the bank is considering purchasing a put option with the following characteristics: T-Bond Put Option Underlying Asset: T-Bonds with a modified duration of 10.0; T-Bond Put Option Delta: -0.40 (per dollar of bond value) ; T-Bond Put Option Cost: 2.0% of Principal (quantity of underlying bonds) Assume Frog Decides to buy a put option on $100 million (market value) of T-bonds. If interest rates rise by 50 basis points after the bank purchases the option, what is your best estimate of how much equity the bank would have (after rates rise)