current (t = 0) yield curve. That is, unless stated otherwise, use the information below for calculating any values or yields needed in any of the subsequent Problems in this exam. Today (5/27/22), the prices on zero-coupon US Treasury STRIPS are as follows: Maturity Price Effective Annual YTM In years (per $100 in face value) 1 98.50 015228. 2 95.20 .0249. 3 91.75 0291170 4 87.14 1035013. 0400070 5 82.19 Again, use the data on the current yield curve from Problem 2. Steve Inc. has someone (Steve) in it's treasury department who thinks he can exploit some mis- pricings in the bond market. On behalf of Steve Inc., Steve issues one thousand (1000) 2-year two-percent annual pay coupon bonds, each with a face value of $1000; each of the 1000 bonds pays its 2% coupons once a year (at the end of the year). The market perceives that Steve Inc. has no risk of default. Steve uses the proceeds from this sale to invest in 3-year zeros, as priced in Problem 2 above. C. What is the duration of these bonds? (5 points.) Show your work below. d. If the yield to maturity on these bonds where to change by 1 percent (i.e., (change in ytm)/(1+ytm) (or dr/(1+r)) is.01), what is the percentage change in the value of these bonds. Use the approximation based on the bond's duration measure. (4 points) current (t = 0) yield curve. That is, unless stated otherwise, use the information below for calculating any values or yields needed in any of the subsequent Problems in this exam. Today (5/27/22), the prices on zero-coupon US Treasury STRIPS are as follows: Maturity Price Effective Annual YTM In years (per $100 in face value) 1 98.50 015228. 2 95.20 .0249. 3 91.75 0291170 4 87.14 1035013. 0400070 5 82.19 Again, use the data on the current yield curve from Problem 2. Steve Inc. has someone (Steve) in it's treasury department who thinks he can exploit some mis- pricings in the bond market. On behalf of Steve Inc., Steve issues one thousand (1000) 2-year two-percent annual pay coupon bonds, each with a face value of $1000; each of the 1000 bonds pays its 2% coupons once a year (at the end of the year). The market perceives that Steve Inc. has no risk of default. Steve uses the proceeds from this sale to invest in 3-year zeros, as priced in Problem 2 above. C. What is the duration of these bonds? (5 points.) Show your work below. d. If the yield to maturity on these bonds where to change by 1 percent (i.e., (change in ytm)/(1+ytm) (or dr/(1+r)) is.01), what is the percentage change in the value of these bonds. Use the approximation based on the bond's duration measure. (4 points)