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Maturity Yld_before Yld_after 5 1.50% 1.25% 10 1.75% 1.45% 20 2.25% 1.85% a. what is the weight in 5Y and 20Y if you combine them
Maturity Yld_before Yld_after 5 1.50% 1.25% 10 1.75% 1.45%
20 2.25% 1.85%
a. what is the weight in 5Y and 20Y if you combine them in a way that matches the $dur of the 100M long 10Y position? This is known as a barbell position.
b. what is the $convexity for the barbell?
c. What is the $convexity for a long 100M 10Y and short barbell position?
d. what is the pnl for a rotational move of the yield curve based on duration and convexity of each leg?
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