The spot rates now are: One-year rate = Two-year rate = Three-year rate = 3.7% 4.33% 5.15% The spot rates in one year are expected to be: One-year rate = 4.96% Two-year rate = 5.88% Three-year rate = 6.21% A bond has a face value of $1000 a coupon rate of 6% and matures in three years. 1) Calculate the expected rate of return of this bond (5 pts) (A) 4.47% (B) 4.3% [C) 3.7% (D) 3.83% 2) Calculate the modified duration of this bond (5 pts) (A) 2.7 (B) 3.16 (C) 2.99 (D) 2.58