Question: I need answer that able to fulfill the marks stated Q2. (a) Determine the Macaulay duration and the modified duration of a 6-year, $1000 face

I need answer that able to fulfill the marks stated

Q2. (a) Determine the Macaulay duration and the modified duration of a 6-year, $1000 face value corporate bond with 10% coupon rate. Assume market yield is 7%. i. Estimate the new bond price if market yield rose to 9%. (11 marks) ii. Based on the result in (i), discuss the limitation of modified duration in price estimation. (7 marks) (b) Convergence describes the movement of the futures price and the spot price of the underlying commodity moving closer together over time. Discuss the role of arbitrage trading in price convergence. (12 marks)

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