Question: On May 15, 2000 the semi-annually compounded yield curve was as in Table 4.6. Calculate the convexity for the following securities: (a) 4-year zero coupon

On May 15, 2000 the semi-annually compounded yield curve was as in Table 4.6. Calculate the convexity for the following securities: (a) 4-year zero coupon bond (b) 2 1/4-year coupon bond paying 5% semiannually (c) 2-year coupon bond paying 3% quarterly (d) 3 1/2-year floating rate bond with 20 basis point spread, paid semiannually (e) 4 1/4-year floating rate bond with 35 basis point spread, paid semiannually.

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