Q2. Consider three zero coupon bonds: 5Y yielding 3%, 10Y yielding 4.25%, and 30Y yielding 4%.

e. If yields moved up or down by 10 bps for ALL THREE bonds in a single day, what is the long-short portfolios duration and convexity PnL? (Show all work)

f. What is the break-even amount of parallel movement in yield curve in a single day (breakeven means the convexity pnl will offset daily interest payment) (Show all work)