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Q2. You manage 100MAUM and are considering the following overnight cash and 2 zero coupon bonds below: Q2h. The difference between Q2e and Q2f is

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Q2. You manage 100MAUM and are considering the following overnight cash and 2 zero coupon bonds below: Q2h. The difference between Q2e and Q2f is the strategy's daily carry. What is the strategy's daily net interest carry (1 point)? Page 6 Q2h. What are the duration and convexity effects of the strategy for a 10 bps parallel movement in yield curve? ( 2 points) Q2. You manage 100MAUM and are considering the following overnight cash and 2 zero coupon bonds below: Q2h. The difference between Q2e and Q2f is the strategy's daily carry. What is the strategy's daily net interest carry (1 point)? Page 6 Q2h. What are the duration and convexity effects of the strategy for a 10 bps parallel movement in yield curve? ( 2 points)

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