Question: 02. Consider 3 zero coupon bond: Maturity Yld: 10 1.50% 20 2.00%; 30 2.25% Q2a calculate duration and convexity, dollar duration and dollar convexity for

02. Consider 3 zero coupon bond: Maturity Yld: 10 1.50% 20 2.00%; 30 2.25% Q2a calculate duration and convexity, dollar duration and dollar convexity for all three (5pts) Q2b, how to hedge the duration risk of a 100M position in 20Y with 10Y and with 30Y respectively? (5pts) Q2c. What is the dur and convexity effect of 5 bps steepening caused by 10Y up 10 bps: 20Y up 15 bps for the 10 vs 20Y trade?? (5pts) Q2d. What is the dur and convexity effect of 5 bps flattening caused by 20Y up 15 bps; 30Y up 10 bps for the 20 vs 30Y trade? (Spts) Page Q+

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