Exercise 21.2.1 An investor owns T-bills and expects rising short-term rates and falling intermediate-term rates. To profit

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Exercise 21.2.1 An investor owns T-bills and expects rising short-term rates and falling intermediate-term rates. To profit from this reshaping of the yield curve, he sells T-bills, deposits the cash in the bank, and purchases puts on the l0-year Treasury yield. Analyze this strategy.

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