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2. 25 points. We saw in class that for parallel shifts (either direction) a long butterfly portfolio makes money. Here, for maturities T1 C(A), so
2. 25 points. We saw in class that for parallel shifts (either direction) a long "butterfly" portfolio makes money. Here, for maturities T1C(A), so that if we are long the barbell and short the bullet, we are long convexity
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