Make sure to print the calculations and explain what you are doing. The interest is compounded semi-annually. Describe the errors made by the duration approximation to the gains and losses, i.e., how do the errors behave across the maturities, and can you account for the pattern in these errors. For example, assume that the four semi-annual intervals between the 5 year and 7 year have the same forward rate. Comment on them.
Price elasticity is a good estimate for modified duration.
Calculate two different price elasticities for each maturity, depending on the direction of the interest rates. Calculate the gain or loss of the cash and futures positions and show the net effect. You will make constant payments for 15 years that will fully amortize the loan. Graph the present value of the loan payments, less the present value of the usable funds, versus the interest rate. The internal rate of return is the rate at which the net present value of the investment is zero.