ONLY ANSWER PART C AND D

.Q2. Consider 3 zero coupon bond:

Maturity Yld:

10 1.50%

20 2.00%

; 30 2.25%

Q2a. calculate duration and convexity, dollar duration and dollar convexity for all three

Q2b. how to hedge the duration risk of a 100M position in 20Y with 10Y and with 30Y respectively?

Q2c. What is the dur and convexity effect of 5 bps steepening caused by 10Y up 10 bps; 20Y up 15 bps for the 10 vs 20Y trade?

Q2d. What is the dur and convexity effect of 5 bps flattening caused by 20Y up 15 bps; 30Y up 10 bps for the 20 vs 30Y trade?