Question: ONLY PARTS B AND C REQUIRED Use the table below, showing annual coupon rates and bond prices to answer the following questions. Assume round year

*ONLY PARTS B AND C REQUIRED*

Use the table below, showing annual coupon rates and bond prices to answer the following questions. Assume round year fractions in your calculations.

Maturity Coupon Price

1 5.00% 101.94

2 3.00% 99.43

3 8.00% 112.61

4 2.00% 94.14

5 4.00% 101.57

(a) Bootstrap the bond curve to calculate discount factors and continuous zero rates for each of the 5 years.

(b) Use this curve to calculate the 3 year breakeven swap rate. What assumptions would you want to validate before using this rate to make a quote for a three year swap?

(c) Under these assumptions what value would you place on a swap with 3 years to maturity and a fixed rate of 4%? Assume you are valuing a long position with a $1m notional. Provide an explanation for your valuation approach.

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Question: *ONLY PARTS B AND C REQUIRED* Use the table below, showing annual coupon rates and bond prices to answer the following questions. Assume round year

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Question: ONLY PARTS B AND C REQUIRED Use the table below, showing annual coupon rates and bond prices to answer the following questions. Assume round year