Recall that Yield Curve is the graph of bond yields as a function of their maturity (2y, 3y, 5y, 10y, ...). Assume a 2-year bond with semi-annual coupon rate of 2.25% p.a. has semi-annual yield of 2% p.a., and a 10-year bond with semi-annual coupon rate of 2.5% p.a. has semi-annual yield of 3% p.a. (a) Calculate the PV01 of each bond. (b) Assume you own $10M face value of the 2-year bond, and want to protect (hedge) yourself against parallel shifts in the yield curve by shorting the 10-year bond. How much face value of the 10-year bond do you need to sell short? (c) What is the Profit and Loss (P&L) of your combined (long+short) position due to a 10 bp parallel shift: the 2-year and 10-year bond yields both increase by 10 bp's (10 x 0.0001)? (d) What is your P&L due to a 10 bp steepening: the 10-year yield change is 10 bp's more than 2-year yield's change? (Assume 2-year yield change is 0.)