Question: 6. Given the Greeks for a liability and for one unit of four hedge instruments. Liability a) Find the weights for each hedge instruments above

6. Given the Greeks for a liability and for one unit of four hedge instruments. Liability a) Find the weights for each hedge instruments above which creates a portfolio which matches the liabilities Greeks? b) Given a different portfolio (Not related to part a) of equal par value (\$100) zero-coupon bonds of 2- and 10-years maturity. Assume annual compounding. a. What is the portfolio duration? b. What is the portfolio convexity? c. How much of the 2-year would be needed to hedge the 10-year bond

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