Exercise 2 Apart from the equity portfolio described in exercise 1, you own a portfolio of short to medium term corporate bonds. The different components of your portfolio is described in the below table. Maturity Bond # 1 2 3 Nom 500.000 750.000 1.200.000 1.600.000 Coupon 2% 5% 3,5% 3% 5 y 4 YC 4 2X All bonds are paying annual coupons, and are redeemed at the end of the life of the bond. Assume a yield of 3,54% and continuous compounding Question 2.2 What is the effect (gain or loss) of a rotation in the yield curve with the following shocks? Term 1 2 3 4 5 Schock (bps) -25 -10 0 WN 10 25