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Assume you have a portfolio of zero coupon bonds. The first bond is 15 year bond and the other bond is 5 year bond with.

Assume you have a portfolio of zero coupon bonds. The first bond is 15 year bond and the other bond is 5 year bond with. Assume the the CURRENT Market value of the first bond is 150,000,000 while the second bond is short and has a market value of -300,000,000. There is also a cash position of 250,000,000 Both bonds are Zero coupon bonds.

Assume that the yield of these bonds moves up by 75 bps ( 0.75%) what is the approximate performance of this portfolio using duration convexity formula ?

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