QUESTION 2 Assume the yield curve is flat at 5.5% pa nominal. A cash and Sduration neutral butterfly is to be constructed by selling one thousand 6-year zero coupon bonds and purchasing qs and I zero coupon bonds with maturities 3 and 13 years' respectively. We assume that interest accrues semi- annually. We also assure each bond has a face value of $100 (a) What is the price of the 3-year bond? Select (b) What is the price of the 6-year bond? Select) (c) What is the price of the 13-year bond? Select) (d) What is the modified duration of the 3-year bond? Select | > te) What is the modified duration of the 6-year bond? Select What is the modified duration of the 13-year bond? 1 Select] (g) What is the standardized convexity of the 3-year bond? Select] th) What is the standardized convexity of the 6-year bond? Select What is the standardized convexity of the 13-year bond? Select What is the cash-neutral equation in the system of equations needed to find 9.5 and Q? [Select k] What is the SDuration-neutral equation in the system of equations needed to find a s and J? Select 10: It can be shown that the solution to the system of equations is: qs - 594.85 and q-1-438.60. The profit from this strategy if the yield curve shifts upwards by 1% at all maturities is closest to Select (m. What is the modified duration of a portfolio comprising:03 - 594.85 short-maturity bond and 41-438.60 long maturity bonds? Select Ink What is the standardized convexity of a portfolio comprising: 5-59485 short-maturity bond and q. 1- 438.60 long maturity bonds? Select