Now assume you have portfolio of treasuries and bonds with weights of 50% Treasuries

and 50% Corporates( total MV of portfolio is 20,000,000$). Assume that the interest rate duration of the treasuries is 5 years and the spread duration of corporates is 10 years ( for example you can assume that corporates are 10 year ZC and Treasuries are 5 year ZC)

1) What is the overall spread duration of the portfolio?

2) What is the overall duration

3) If the spread moves up by 50 bps and interest rate yield drops by 20 bps what will be the overall impact on your portfolio?