Question: (a) (1 mark) Answer true or false to the following statement: Assume that the yield curve is upward-sloping and that you have just implemented a

(a) (1 mark) Answer true or false to the following statement:

Assume that the yield curve is upward-sloping and that you have just implemented a cash and dollar-duration neutral butterfly. This cash and dollar-duration neutral butterfly will generate a loss if there is a flattening of the yield curve.

Note: You must provide a detailed explanation to obtain full marks for this question.

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