On May 15, 2000 the semi-annually compounded yield curve was as above. Calculate the convexity forthe following securities:

(a) 4-year zero coupon bond

(b) 2 1/4-year coupon bond paying 6% semiannually

(c) 2-year coupon bond paying 4% quarterly

(d) 3 1/2-year floating rate bond with 30 basis point spread, paid semiannually

(e) 4 1/4-year floating rate bond with 45 basis point spread, paid semiannually

assume that semiannually compounded 6-month interest rate 3 months ago was 4.30%

Maturity Yield Maturity Yield Maturity Yield 0.25 4.53% 2.75 5.06% 5.25 4.59% 0.50 4.69% 3.00 5.03% 5.50 4.51% 0.75 4.82% 3.25 5.00% 5.75 4.44% 1.00 4.91% 3.50 4.96% 6.00 4.35% 1.25 4.99% 3.75 4.92% 6.25 4.25% 1.50 5.04% 4.00 4.87% 6.50 4.14% 1.75 5.07% 4.25 4.82% 6.75 4.01% 2.00 5.08% 4.50 4.77% 7.00 3.87% 2.25 5.09% 4.75 4.71% 7.25 3.70% 2.50 5.08% 5.00 4.65% 7.50 3.51%