(t,T) 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 3.25 3.50 3.75 4.00 benchmark yield yield used in exam 6.3318% 6.3907% 6.4907% 6.5522% 6.6169% 6.6866% 6.7143% 6.7153% 6.7864% 6.8731% 6.8367% 6.9195% 6.8682% 6.9044% 6.8835% 6.9701% 6.8854% 6.9479% 6.8759% 6.9576% 6.8570% 6.8606% 6.8304% 6.9082% 6.7974% 6.8363% 6.7593% 6.8416% 6.7169% 6.8128% 6.6708% 6.7681% 6.6212% 6.6927% 6.5682% 6.6072% 6.5116% 6.5313% 6.4510% 6.4990% 6.3854% 6.4411% 6.3139% 6.3451% 6.2351% 6.3271% 6.1475% 6.1676% 6.0492% 6.0679% 5.9379% 6.0308% 5.8113% 5.8687% 5.6667% 5.7440% 4.25 4.50 4.75 5.00 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 An investor has the portfolio below: 39% invested in 6-year zero coupon bond 48% invested in 4-year coupon bonds paying 3.5% semi-annually 13% invested in 2 1/2-year floating rate bonds with zero spread paid quarterly You are told that the mean of daily change in interest rates is zero and that the variance of the daily change of interest rates is 3.451*10^(-7) What is the annualized expected return taking into account convexity? Consider 252 trading days a year. What is the dollar duration of the following portfolio? Long a 2-year fixed coupon bond paying 7% quarterly. Short three 1.25-year floating rate bonds paying float plus 80 bps semi-annually. You know that the previous reference rate was set at 7% Short two 0.5-year zero coupon bonds. (t,T) 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 3.25 3.50 3.75 4.00 benchmark yield yield used in exam 6.3318% 6.3907% 6.4907% 6.5522% 6.6169% 6.6866% 6.7143% 6.7153% 6.7864% 6.8731% 6.8367% 6.9195% 6.8682% 6.9044% 6.8835% 6.9701% 6.8854% 6.9479% 6.8759% 6.9576% 6.8570% 6.8606% 6.8304% 6.9082% 6.7974% 6.8363% 6.7593% 6.8416% 6.7169% 6.8128% 6.6708% 6.7681% 6.6212% 6.6927% 6.5682% 6.6072% 6.5116% 6.5313% 6.4510% 6.4990% 6.3854% 6.4411% 6.3139% 6.3451% 6.2351% 6.3271% 6.1475% 6.1676% 6.0492% 6.0679% 5.9379% 6.0308% 5.8113% 5.8687% 5.6667% 5.7440% 4.25 4.50 4.75 5.00 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 An investor has the portfolio below: 39% invested in 6-year zero coupon bond 48% invested in 4-year coupon bonds paying 3.5% semi-annually 13% invested in 2 1/2-year floating rate bonds with zero spread paid quarterly You are told that the mean of daily change in interest rates is zero and that the variance of the daily change of interest rates is 3.451*10^(-7) What is the annualized expected return taking into account convexity? Consider 252 trading days a year. What is the dollar duration of the following portfolio? Long a 2-year fixed coupon bond paying 7% quarterly. Short three 1.25-year floating rate bonds paying float plus 80 bps semi-annually. You know that the previous reference rate was set at 7% Short two 0.5-year zero coupon bonds