(2) (i) (5 points) Use bootstrapping to obtain a continuously compounded zero rate curve given that the price of a 6-month T-bill is 97.5, the price of a 12-month T-bill is 100, and the price of a 2-year T-bond with a 4% coupon rate is 108, The Treasury bonds pay semi-annual coupons. You should assume that the overnight lending rate is zero. (i) (5 points) Use your zero-rate curve from part (a) to price a 20-month T-bond with a 3% coupon rate, what are the duration and convexity of this bond? (2) (i) (5 points) Use bootstrapping to obtain a continuously compounded zero rate curve given that the price of a 6-month T-bill is 97.5, the price of a 12-month T-bill is 100, and the price of a 2-year T-bond with a 4% coupon rate is 108, The Treasury bonds pay semi-annual coupons. You should assume that the overnight lending rate is zero. (i) (5 points) Use your zero-rate curve from part (a) to price a 20-month T-bond with a 3% coupon rate, what are the duration and convexity of this bond