Maturity Yld 5- 1.50%

10- 1.75%

20- 2.25%

Q2d. What is the duration and convexity PnL for a 10 bps parallel movement upward AND downward respectively?

Q2e. What is the dur and convexity effect of 1 bps steepening for the 10 vs 5Y trade? (5Y up 50 bps; 10Y up 51 bps)?

hint: for duration effect, the first 50 bps for both maturities will cancel. for convexity effect, calculate convexity impacts for both legs separately and then sum up.