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Suppose the yield curve (annual compounding) is flat at 5%. If you own a 5-year zero-coupon bond, what positions would you need to take in
Suppose the yield curve (annual compounding) is flat at 5%. If you own a 5-year zero-coupon bond, what positions would you need to take in 10 and 15 year zero coupon bonds (i.e., how many such bonds would you need to buy and/or sell) to hedge both the 5-years duration and convexity? Assume all bonds have face values of $1000.
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