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Q 1 . Trading yld curve slope Yo u manage a bond arbitrage fund with AUM at $100M. 5 Y zero at 1 . 0

Q1. Trading yld curve slope

You manage a bond arbitrage fund with AUM at $100M.

5Y zero at 1.0%; 30Y zero at 3.00%. Cash at 0%

Construct a long short portfolio in 5Y and 30Y that is duration neutral, ie zero overall dollar duration.

1a. calculate modified duration for 5Y and 30Y.

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