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need help with this question Part 1. (5pts) Replicating Portfolios. Suppose...

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Finance

need help with this question
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Part 1. (5pts) Replicating Portfolios. Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo ly 18mo 2y (0,T) 2% 2.25% 2.5% 3% B(0,1) 0.9901 0.9779 0.9634 0.9422 and you have a risk-free portfolio which pays 6mo ly 18mo 2y 400 x 200.5) 300 x 50,5,1200 x (LS 100 x 5(1,2) 1. Construct a replicating portfolio using FRNs and ZCBs 2. Construct a replicating portfolio using FRAs and ZCBs 3. Price the portfolio 4. Compute duration (modified and w.r.t. to c.c. rates) of the portfolio 5. Compute convexity (modified and w.r.t. to c.c. rates) of the portfolio Part 1. (5pts) Replicating Portfolios. Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo ly 18mo 2y (0,T) 2% 2.25% 2.5% 3% B(0,1) 0.9901 0.9779 0.9634 0.9422 and you have a risk-free portfolio which pays 6mo ly 18mo 2y 400 x 200.5) 300 x 50,5,1200 x (LS 100 x 5(1,2) 1. Construct a replicating portfolio using FRNs and ZCBs 2. Construct a replicating portfolio using FRAs and ZCBs 3. Price the portfolio 4. Compute duration (modified and w.r.t. to c.c. rates) of the portfolio 5. Compute convexity (modified and w.r.t. to c.c. rates) of the portfolio

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