Compute the Macaulay and modified duration for the same securities as in Exercise 1.
Today is May 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration for the following securities:
(a) 3-year zero coupon bond
(b) 3 1/4-year coupon bond paying 6% semiannually
(c) 1-year coupon bond paying 4% quarterly

(d) 6-year floating rate bond with a zero spread, paying semiannually
(e) 3-year floating rate bond with a 35 basis point spread, paid semiannually
(f) 4 1/4 year floating rate bond with 50 basis point spread, paid semiannually

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Maturity Maturity 0.25 0.75 Maturity Vield Yield 6.84 0.30% 6.31% 624% 6,15% 5.05% 5944 5,819 5.67% 550% 531% 639% 5.50 5.75 662%. 677% 6.79% 6.84%. 6,8OPS 670% 6,72% 6,67% .00 375 4.00 1.50 .75 618% 689% 6.38 6.57% 6.51% 6,45% 7.25 730 2.25 2.50