Q1. Trading yld curve slope You manage a bond arbitrage fund with AUM at $100M. 5Y zero at 1.65%; 30Y zero at 2.30%. Cash at 1.5% Construct a long short portfolio in 5Y and 30Y that is duration neutral, ie zero overall dollar duration. a-d is answered here but not sure if it's right. https://www.chegg.com/homework-help/questions-and-answers/question-1-trading-yield-curve-slope-manage-bond-arbitrage-fund-aum-100m-5y-zero-165-30y-z-q50709974

1e. If 5Y yld goes dn by 10 bps, and 30Y goes dn by 5 bps, what is your PnL? (3 points)

1f. What is the daily interest earned if the entire AUM is put in short term cash? ( 2 points)

1g. What is the ONE DAY net interest payment from the long short portfolio? (note: portfolio has THREE components, 5Y,30Y, and cash. The weights add up to be 100%) (4 points)