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1 . Assume that you have a 3 0 year zero coupon bond with 2 , 0 0 0 , 0 0 0 MV and

1 .

Assume that you have a

30

year zero coupon bond with

2, 000, 000

MV and u are buying

6

year ZCB to make it duration neutral. What will be the convexity of your portfolio?

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