Question
100MILLION DOLLARS answer Q-3 and Q-4 in dollar amounts please. This is finance question BOND DURATION AND CONVEXITY Q5. A Barbell Q1. what is the
100MILLION DOLLARS answer Q-3 and Q-4 in dollar amounts please. This is finance question
BOND DURATION AND CONVEXITY
Q5. A Barbell Q1. what is the weight in 10Y and 30Y if you combine them in a way that matches the $duration of the 100,000,000 long 20Y position? This is known as a barbell position. Q2. what is the $duration and $convexity for a long 100,000,000 20YR and short barbell position? Q-3. what is the PNL for the following rotational move of the yield curve based on duration effect? 10YR 1.50% =>1.60%; 20YR 2.00% =>2.00%; 30YR 2.25% =>2.15% Q-4. what is the PNL for the following belly flattening move of the yield curve based on duration effect? (10YR 1.50% =>1.60%; 20YR 2.00% =>2.05%; 30YR 2.25% =>2.35%
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