Question: Using Tables 4.8 and 4.9, compute the factor duration of level, slope, and curvature, for each of the following securities on February 15, 1994: (a)

Using Tables 4.8 and 4.9, compute the factor duration of level, slope, and curvature, for each of the following securities on February 15, 1994:
(a) 4-year zero bond
(b) 2 1/2-year bond paying 3% semiannually
(c) 3 1/4-year floating rate bond with zero spread paid semiannually
(d) 4 1/4-year floating rate bond with 35 basis point spread paid semiannually

3 month month year 2 year 3 year 5ea cr 10 yea Lesel0 09509 09196 0344 1,0299 10180 10180 (Sreen -Q256M -Q3252-0.4317 4.3507-0.1424 0.2432 0.5205 07432 Cunte 0328401404 04 3228 0.3240 01716 0.1058 03284 99.65% 9969% 98s8% 90.61 99.77% 99.904 99.79 gg-90S

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