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1. Rate calculations. You are faced with the following table of Continuously compounded Forward rates. (set yourself up with an excel or google sheet to do this). From these rates, calculate the following: Maturity, CC Forward years Rate 0 5.0000% 0.25 5.2500% 0.5 5.5000% 0.75 5.7500% 1 6.0000% 1.5 6.2500% 2 6.5000% 3 6.7500% a. The continuously compounded spot or zero rates for each row in the table from 0.25 to 3 years b. The present value of 1 invested at time 0 for each row in the table from 0 to 3 years C. The 1 year forward continuously compounded 1 year rate the forward rate that connects the 1 year and 2 year points on the table) d. The yield to maturity for a 2 year bond Priced at Par. Please supply the Quote as a Semi-Annual compounding yield, 30/360 accrual method. (you can use the solver to find the yield that makes it work) e. Compute the Duration of the bond in d above f. Compute the Modified Duration of the bond in d above 1. Rate calculations. You are faced with the following table of Continuously compounded Forward rates. (set yourself up with an excel or google sheet to do this). From these rates, calculate the following: Maturity, CC Forward years Rate 0 5.0000% 0.25 5.2500% 0.5 5.5000% 0.75 5.7500% 1 6.0000% 1.5 6.2500% 2 6.5000% 3 6.7500% a. The continuously compounded spot or zero rates for each row in the table from 0.25 to 3 years b. The present value of 1 invested at time 0 for each row in the table from 0 to 3 years C. The 1 year forward continuously compounded 1 year rate the forward rate that connects the 1 year and 2 year points on the table) d. The yield to maturity for a 2 year bond Priced at Par. Please supply the Quote as a Semi-Annual compounding yield, 30/360 accrual method. (you can use the solver to find the yield that makes it work) e. Compute the Duration of the bond in d above f. Compute the Modified Duration of the bond in d above

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