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6. (10 points) Suppose you observe the semi-annually compounded spot rate curve today (See, the excel file). Calculate the convexity for the following securities: (a) 2.25-year coupon bond paying 5% semiannually (Your first coupon will be paid in 3-months from now) (b) 3.5-year floating rate bond with 200 basis point spread, paid semiannually Z(0,T (0,T) 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 3.25 3.50 3.75 4.00 ra(0,T) 6.33% 6.49% 6.62% 6.71% 6.79% 6.84% 6.87% 6.88% 6.89% 6.88% 6.86% 6.83% 6.80% 6.76% 6.72% 6.67% 6.62% 6.57% 6.51% 6.45% 6.39% 6.31% 6.24% 6.15% 6.05% 5.94% 5.81% 5.67% 4.25 4.50 4.75 5.00 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 6. (10 points) Suppose you observe the semi-annually compounded spot rate curve today (See, the excel file). Calculate the convexity for the following securities: (a) 2.25-year coupon bond paying 5% semiannually (Your first coupon will be paid in 3-months from now) (b) 3.5-year floating rate bond with 200 basis point spread, paid semiannually Z(0,T (0,T) 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 3.25 3.50 3.75 4.00 ra(0,T) 6.33% 6.49% 6.62% 6.71% 6.79% 6.84% 6.87% 6.88% 6.89% 6.88% 6.86% 6.83% 6.80% 6.76% 6.72% 6.67% 6.62% 6.57% 6.51% 6.45% 6.39% 6.31% 6.24% 6.15% 6.05% 5.94% 5.81% 5.67% 4.25 4.50 4.75 5.00 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00