Use bootstrapping to obtain a continuously compounded zero rate curve given that the

price of a 6-month T-bill is 97:5, the price of a 12-month T-bill is 100, and the price of a

20-month T-bond with a 4:5% coupon rate is 10718

32 . Use your zero-rate curve to price a 20-

month T-bond with a 3% coupon rate. What are the duration and convexity of this bond?

The Treasury bonds pay semiannual coupons.