Q3. A Barbell

Q3a. what is the weight in 10Y and 30Y if you combine them in a way that matches the $dur of the 100M long 20Y position? This is known as a barbell position. (5 pts)

Q3b. what is the $dur and $convexity for a long 100M 20Y and short barbell position? (5 pts)

Q3c. what is the pnl for the following rotational move of the yld curve based on duration effect? (5 pts) 10Y 1.50% =>1.60%; 20Y 2.00% =>2.00%; 30Y 2.25% =>2.15%

Q3d. what is the pnl for the following belly flattening move of the yld curve based on duration effect? (5 pts) 10Y 1.50% =>1.60%; 20Y 2.00% =>2.05%; 30Y 2.25% =>2.35%