Question: Consider a self-financed convexity trade. Three zero couple bonds: i. 2Y zero at 1.60%; ii. 10Y zero at 1.85%; iii. 30Y zero at 2.30% a)

Consider a self-financed convexity trade.

Three zero couple bonds:

i. 2Y zero at 1.60%; ii. 10Y zero at 1.85%; iii. 30Y zero at 2.30%

a) The combination of 2Y and 30Y is a barbell. 10Y only position is a bullet. What are the daily interest accruals of $100M portfolio in long barbell portfolio, and $100M in long bullet, respectively

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