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Suppose you own the original bond. Calculate the dv01 of a 4-year zero coupon bond yielding 3.6%. How much of this zero bond would you
Suppose you own the original bond. Calculate the dv01 of a 4-year zero coupon bond yielding 3.6%. How much of this zero bond would you need to sell short so that if the yield increases by 1% for both your bond and this zero, the gain from one offsets the loss from the other?
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