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%

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

f. What is the breakeven level of single day parallel yield change for the long-short portfolio? (hint: breakeven level is achieved when convexity profit is offset by daily interest cost)