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Q3. A Barbell Q3a. what is the weight in 5Y and 20Y if you combine them in a way that matches the $dur of the

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Q3. A Barbell Q3a. what is the weight in 5Y and 20Y if you combine them in a way that matches the $dur of the 100M long 10Y position? This is known as a barbell position. Q3b. what is the $convexity for the barbell? Q3c. What is the $convexity for a long 100M 10Y and short barbell position? Q3d. what is the pnl 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%

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