4. Using the yield curve in Table 3.6, compute the dollar duration for the following securities: EXERCISES 101

(a) Long a 5-year coupon bond paying 4% semiannually

(b) Short a 7-year zero coupon bond

(c) Long a 3 1/2-year coupon bond paying 7% quarterly

(d) Long a 2-year zero spread floating rate bond paid semiannually

(e) Short a 2 1/4-year zero spread floating rate bond paid semiannually

(f) Short a 5 1/4-year floating rate bond with a 25 basis point spread paid semiannually

table3.6

maturity	yield	maturity	yield	maturity	yield
0.25	4.33%	2.75	4.86%	5.25	4.39%
0.5	4.49%	3	4.83%	5.5	4.31%
0.75	4.62%	3.25	4.80%	5.75	4.24%
1	4.71%	3.5	4.76%	6	4.15%
1.25	4.79%	3.75	4.72%	6.25	4.05%
1.5	4.84%	4	4.67%	6.5	3.94%
1.75	4.87%	4.25	4.62%	6.75	3.81%
2	4.88%	4.5	4.57%	7	3.67%
2.25	4.89%	4.75	4.51%	7.25	3.50%
2.5	4.88%	5	4.45%	7.5	3.31%