Q2. Consider three zero coupon bonds:

5Y yielding 3%, 10Y yielding 4.25%, and 30Y yielding 4%.

a. Calculate duration and convexity for all three (Show all work)

b. If you want to construct a 100M portfolio of 5Y and 30Y to match the dollar duration of 100M position in 10Y, what is the weight in 5Y and 30Y respectively? (Show all work)

c. What is the $convexity for shorting 100M of 10Y zero? What is $convexity for long 100M portfolio of 5Y and 30Y as constructed in Q2b? (Show all work)

d. What is the 1-day net interest payment (ie carry) for the long-short duration-neutral portfolio above in Q2c?(Show all work)