1. 24 points with 6 points/curve scenario. You are on the US Treasury desk of a big investment bank. It is September 1, 1995 and your forecasting team has come up with four possible scenarios for how the treasury spot curve may evolve in the upcoming days. The four scenarios are shown below. In each plot, the solid line is the September 1, 1995 spot curve. The dashed line is the forecasted value of the new spot curve. The y-axis is the percent value of the curve and the x-axis is the maturity in years. Assume you have $10,000,000 to invest. For each of the above four scenarios, rank the relative performance of the following types of positions (1) (Portfolio A): Putting all 10 million in the 5 year zero. (2) (Portfolio B): Putting all 10 million in the 10 year zero. (3) (Portfolio C): Putting all 10 million in the 20 year zero. (4) (Portfolio D): Splitting the 10 million amongst (long positions) the 5 and 20 year zeros, in a way so that the portfolio duration is the same as the 10 year zero. If it is not possible to compare all of the strategies, say so, and compare the ones you can. Provide a brief explanation for your reasoning