2. A trader has a $20 million position in AAPL 8-year bonds priced at $116-16 with a modified duration of 7.12. To hedge this position the trader wishes to create a short position in a Treasury note with 7 years to maturity priced at $112-17 with a modified duration of 6.26. Both bonds are priced at the beginning of an accrual period, i.e., no accrued interest.

a) What is the DV01 per $1 million for the AAPL bond?

b) What is the DV01 per $1 million for the Treasury note?

c) What is the face amount of Treasuries the trader will sell to make the portfolio duration neutral?