Sandra Trump manages a fixed income portfolio with cash flow maturities stretching from 0.35 years to 4.6 years. The cash flow amounts and horizons are given below, together with the relevant interest rates, standard deviations of rate changes (in basis points) and the correlation matrix .

Horizon 3m 6m lyr 2yr 3yr 5yr STD (bps) rate (p.a.) 8.8 7.4 6.7 5.6 5.4 5.4 0.025 0.028 0.030 0.035 0.040 0.048 CF (Sm) 150 400 -200 140 450 500 550 420 -350 600 time (yrs) 0.35 0.55 0.66 1.20 1.80 2.00 2.50 3.40 4.20 4.60