The trading universe for this question is: Security A: 3-year zero-coupon bond with $12892.53 face value Security B: 20-year zero-coupon bond with $73074.31 face value Security C: 20-year coupon bond with $1009.09 coupon (paid annually) and $9363.03 face value. The first coupon will be paid in one year.

Part a. Create performance profiles of these securities (3-year zero, 20-year zero and 20-year coupon bond). Calculate delta, gamma, and theta of each security (A, B, and C)

Part b. Your target is to create a delta and gamma hedged equity position. Assume you go through similar calculations as in Question 2 and calculate assets consisting 13.76 units of 3- year zero and 3.41 units of 20-year zero with liabilities 12.175142 units of 20-year coupon bond to achieve your target of zero delta, zero gamma for the $50,000 net equity value. Create performance profiles of asset, liabilities and net equity at time =0 (immediately after the hedge). Calculate delta, gamma, and theta of assets, liabilities, and net equity position at time =0 (immediately after the hedge). The tables that you create to graph the performance profiles needs to be clearly labeled