Using the data in worksheet Yields USD, consider the yield curve for 31 Jan 1992 Using log-linear interpolation price the following forward-starting swaps a) swap 1: semi-annual, starting 0.234 years fromtoday, SR 4.5%, maturity 5 years after the start b) swap 2: semi-annual, starting 4.1 years fromtoday, SR 6.5%, maturity 2 years after the start c) a discount bond maturing in 1.267 years Assume that you are RECEIVING on swap 1, with a notional of $10,000,000, PAYING on swap 2 with a notional of $14,000,000, and that you are long the discount bond forface value of $2,500,000. This is your "book" Using the yields as your key rates, find the Key Rate Durations for the 'book' above

Yields in percentage points for maturities 1 to 10 years. These are the yields, y(t,T) in P(t,T) = exp [ - y(t,T) * (T-t)], and P(t,T) is the time-t price of a discount bond of n 1 2 3 4 5 6 7 8 9 10 31-Dec-71 4.354162 4.791196 5.108662 5.343362 5.520015 5.65539 5.760985 5.844772 5.912345 5.96768 31-Jan-72 4.24298 4.9197 5.331099 5.594204 5.770983 5.895329 5.986439 6.055598 6.109691 6.153078 29-Feb-72 4.203598 4.847638 5.258242 5.530596 5.718486 5.853054 5.952814 6.029088 6.089002 6.137175 31-Mar-72 5.02078 5.571516 5.814833 5.943781 6.022099 6.07444 6.111844 6.139899 6.161721 6.179178 30-Apr-72 4.54588 5.176614 5.52613 5.735484 5.870263 5.962647 6.029353 6.079591 6.118726 6.150053 4.568982 5.06066 5.387028 5.610614 5.768717 5.884012 5.970569 6.03731 6.090023 6.132552 30-Jun-72 5.076862 5.508857 5.736798 5.869119 5.952791 6.009611 6.050457 6.081157 6.105052 6.124173 31-Jul-72 4.777276 5.398942 5.69029 5.84877 5.945938 6.011069 6.057652 6.0926 6.119784 6.141531 31-Aug-72 5.3263 5.723706 5.947801 6.083616 6.17168 6.232284 6.276135 6.309193 6.334957 6.355585 30-Sep-72 5.443795 5.819477 6.014534 6.126665 6.197201 6.244981 6.279291 6.305068 6.325127 6.341177 31-Oct-72 5.443668 5.841855 6.01996 6.114829 6.172547 6.211138 6.23872 6.259409 6.275501 6.288375 30-Nov-72 5.32231 5.69649 5.891862 6.004553 6.075567 6.123712 6.158297 6.184283 6.204507 6.220689 31-Dec-72 5.657006 5.920408 6.054689 6.131057 6.178831 6.211111 6.234267 6.251656 6 6.265186 6.276011 31-Jan-73 6.137909 6.278958 6.329152 6.352081 6.365015 6.373412 6.379354 6.383797 6.38725 6.390012 28-Feb-73 6.43448 6.59703 6.636906 6.629029 6.605366 6.578886 6.554348 6.533097 6.515159 6.500119 31-Mar-73 6.990484 6.867873 6.767522 6.704306 6.663906 6.63653 6.616899 6.602162 6.590698 6.581526 30-Apr-73 6.731442 6.70186 6.660324 6.63505 6.619363 6.608847 6.601331 6.595693 6.591307 6.587799 ######### 7.034226 6.820018 6.741526 6.70227 6.678716 6.663013 6.651797 6.643385 6.636842 6.631608 30-Jun-73 7.588722 7.098127 6.919373 6.829957 6.776307 6.74054 6.714992 6.695832 6.680929 6.669007 Activate Windows 31-Jul-73 8.694604 8.066407 7.758796 7.599983 7.50448 7.440802 7.395318 7.361205 7.334672 7.313446 Go to Settings to activate Windows, YieldsUSD Problem 1 Problem 2 Problem 3 Problem 4 100%