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2. ($$) The following table provides the current term structure based on zero coupon bonds. The second column of the table indicates the annualized rates with continuous com- Chapter 10: Dollar Delta 1: Risk Measurement, Questions Page 507 Adventures in Debentures pounding. Consider a balance sheet consisting of a single asset and a single liability The cash flows of the asset are K1=$20,K2=$20, and K3=$120. The liability has one cash outflow of $100 to be paid out in year 2. The current market value of the net equity position is $39.87. Assume the term structure based on annualized rates with continuous compounding makes uniform shifts. Part a. Consider a performance profile where the vertical axis is the dollar market value of this net equity position and the horizontal axis is r1. Give the three values on the performance profile curve corresponding to 3 points on the horizontal axis. Use r1=6%,r1=8%, and r1=11% as the three points on the horizontal axis. In other words, provide three points on the following graph: Part b. Now you observe a performance profile for a different security. This performance profile is for a 4 year constant coupon bond. This bond pays K1=10, Chapter 10: Dollar Delta 1: Risk Measurement, Questions Page 508 Adventures in Debentures K2=10,K3=10, and K4=110. All the assumptions used in part a above continue to hold here. On this performance profile you note when r1=9% on the horizontal axis, the corresponding dollar value on the vertical axis is $90.00. What are the corresponding values for r2,r3, and r4 when r1=9%. 2. ($$) The following table provides the current term structure based on zero coupon bonds. The second column of the table indicates the annualized rates with continuous com- Chapter 10: Dollar Delta 1: Risk Measurement, Questions Page 507 Adventures in Debentures pounding. Consider a balance sheet consisting of a single asset and a single liability The cash flows of the asset are K1=$20,K2=$20, and K3=$120. The liability has one cash outflow of $100 to be paid out in year 2. The current market value of the net equity position is $39.87. Assume the term structure based on annualized rates with continuous compounding makes uniform shifts. Part a. Consider a performance profile where the vertical axis is the dollar market value of this net equity position and the horizontal axis is r1. Give the three values on the performance profile curve corresponding to 3 points on the horizontal axis. Use r1=6%,r1=8%, and r1=11% as the three points on the horizontal axis. In other words, provide three points on the following graph: Part b. Now you observe a performance profile for a different security. This performance profile is for a 4 year constant coupon bond. This bond pays K1=10, Chapter 10: Dollar Delta 1: Risk Measurement, Questions Page 508 Adventures in Debentures K2=10,K3=10, and K4=110. All the assumptions used in part a above continue to hold here. On this performance profile you note when r1=9% on the horizontal axis, the corresponding dollar value on the vertical axis is $90.00. What are the corresponding values for r2,r3, and r4 when r1=9%