Q3. A Barbell

Q3a. what is the weight in 5Y and 20Y if you combine them in a way that matches the Sdur of the 100M long 10Y position? This is

known as a barbell position.

Q3b. what is the Sconvexityffor the barbell?

Q3c. What is the Sconvexity for a long 100M 10Y and short barbell position?

Q3d. what is the pl for a rotational move of the yield curve based on duration and convexity of each leg?

Maturity Yld_before Yld_after

5 1.50% 1.25%

10 1.75% 1.45%

20 2.25% 1.85%

write down on paper with formulas please not excel