$1-$ Suppose that f$(0,1,2)=2\%$ and r$(0,1)=1\%$

Which of the following is$/$are true?

Select one or more alternatives:

A$-$ r$(0,2)>$ r$(0,1)$

B$-$ r$(0,2)<$ r$(0,1)$

C$-$ r$(0,2)=3\%$

D$-$ r$(0,2)=1\mathrm{.}5\%$

$2-$ Which of the following statements about the swap spread is$/$are true?

Select one or more alternatives:

A$-$It is generally negative since swaps have a tax advantage.

B$-$ It is generally positive due to the probability of default of the swap dealers.

C$-$ It can never be negative.

D$-$ It may turn negative for long maturities under market turbulence.

$3-$ Which of the following statement about a semi$-$annual $5-$year Treasury bond with a coupon rate of$4\%$ is$/$are true?

Select one or more alternatives:

A$-$ It has a convexity of at least $25.$

B$-$ It has a duration of at least $5.$

C$-$ It has a convexity less than $25.$

$4-$ What is true for a semi$-$annual floating$-$rate bond with $9$ months to maturity and $0\%$ spread.

Select one or more alternatives:

A$-$ It has a value of $100.$

B$-$ It has a duration of $0\mathrm{.}75.$

C$-$ It has a duration of $0\mathrm{.}25.$

D$-$ It has a value of Z$(0,0\mathrm{.}25)*100*(1+$r$2(-0\mathrm{.}25,0\mathrm{.}25)/2)$