Question: The table below shows the compound yield curve for each semi-annually of January 1, 2020. Calculate the convexity of the following securities. Face value is

The table below shows the compound yield curve for each semi-annually of January 1, 2020. Calculate the convexity of the following securities. Face value is $100.

Maturity Yield Maturity Yield Maturity Yield
0.25 4.53% 2.75 5.06% 5.25 4.59%
0.5 4.69% 3 5.03% 5.5 4.51%
0.75 4.82% 3.25 5.00% 5.75 4.44%
1 4.91% 3.5 4.96% 6 4.35%
1.25 4.99% 3.75 4.92% 6.25 4.25%
1.5 5.04% 4 4.87% 6.5 4.14%
1.75 5.07% 4.25 4.82% 6.75 4.01%
2 5.08% 4.5 4.77% 7 3.87%
2.25 5.09% 4.75 4.71% 7.25 3.70%
2.5 5.08% 5 4.65% 7.5 3.51%

(a) 4-year zero coupon bond

(b) 2 1/4-year coupon bond paying 6% semiannually

(c) 2-year coupon bond paying 4% quarterly

(d) 3 1/2-year floating rate bond with 30 basis point spread, paid semiannually

(e) 4 1/4-year floating rate bond with 45 basis point spread, paid semiannually

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