Butterfly Trade
It is April 7, 2021.
Consider the following Treasury yield curve:
	Maturity	Coupon	Price
2-year	2023/3/31	2.00%	100-00
6-year	2026/9/30	3.50%	100-00
11-year	2031/9/15	4.75%	100-00
There are 2 portfolios, each with $100MM market value.
Portfolio I: 6-year bullet.
Portfolio II: 2-year/11-year barbell.
1.) Today, you invest the $100MM in each portfolio, so that the portfolios
have the same duration. The trades settle tomorrow, April 8.
	a.) How much is invested in the 2-year and in the 11-year?
2.) Suppose you believe that 9 months from today the 2-year yield will be
50 basis points higher and the 11-year yield will be 25 basis points lower.
	a.) Which strategy outperforms on a total rate of return basis?
3.) Discuss the issues/complexities involved with solving question #2.