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Bond Return and Convexity. Consider a self-financed convexity trade. Three zero couple bonds: i. 2Y zero at 1.60%; ii. 10Y zero at 1.85%; iii. 30Y

Bond Return and Convexity. Consider a self-financed convexity trade.

Three zero couple bonds:

i. 2Y zero at 1.60%; ii. 10Y zero at 1.85%; iii. 30Y zero at 2.30%

a) What is the total PnL for a 2 bps downward parallel movement of yield curve?

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