Consider Portfolio P which is composed of some long positions in Bond 1 and some short positions in Bond 2 such that the value of the portfolio is zero. If the yield curve shifts up, does the value of Portfolio P: (i) increase; (ii) decrease; (iii) does not change; (iv) may either increase or decrease

Maturity Bond 1 Bond 2 Coupon rate 0% 5% Face value 100 100 1 year 2 years Price 99.01 107.88 Maturity Bond 1 Bond 2 Coupon rate 0% 5% Face value 100 100 1 year 2 years Price 99.01 107.88