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Q1. Trading yld curve slope You manage a bond arbitrage fund with AUM at $100M. 5Y zero at 1.65%; 30Y zero at 2.30%. Cash at 1.5% Construct a long short portfolio in 5Y and 30Y that is duration neutral, ie zero overall dollar duration. 1f. What is the daily interest earned if the entire AUM is put in short term cash? + 1g. What is the ONE DAY net interest payment from the long short portfolio? (note: portfolio has THREE components, 5Y,30Y, and cash. The weights add up to be 100%) Q1. Trading yld curve slope You manage a bond arbitrage fund with AUM at $100M. 5Y zero at 1.65%; 30Y zero at 2.30%. Cash at 1.5% Construct a long short portfolio in 5Y and 30Y that is duration neutral, ie zero overall dollar duration. 1f. What is the daily interest earned if the entire AUM is put in short term cash? + 1g. What is the ONE DAY net interest payment from the long short portfolio? (note: portfolio has THREE components, 5Y,30Y, and cash. The weights add up to be 100%)