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. Suppose you own $ 1 , 0 0 0 worth of two - year zero coupon bonds. ( a ) what position would you
Suppose you own $ worth of twoyear zero coupon bonds.
a what position would you need to take in year zero coupon bonds to get duration neutral?
b Suppose you took the position in year from part a Using the duration approximation,
what would be the approximate change in the value of your portfolio if the yield curve steepened
I.e what happens if the year rate increases basis points more than the year rate?
Assume the yield curve started flat at ie y
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