Suppose that zero interest rates with continuous compounding are as follows:

Maturity Rate

0.5 Years 0.5 5.5

1 Years 1.0 5.9

1.5 Years 1.5 6.2

2 Years 2.0 6.4

2.5 Years 2.5 6.5

3 Years 3.0 6.6

A three-year bond pays an 10% coupon per annum paid semiannually. a- Calculate the price of the bond? b- Calculate the duration of the bond? c- If the yield increase 0.2% calculate the price of the bond using duration? Please choose one.

a. Duration: 1.959 Price: 111.422 Price New: 109.838

b. Duration: 3.304 Price: 105.922 Price New: 105.338

c. Duration: 2.224 Price: 112.922 Price New: 106.338

d. Duration: 3.624 Price: 104.922 Price New: 105.838

e. Duration: 2.679 Price: 108.922 Price New: 108.338