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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.
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. Calculate duration and convexity for all three
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