Question: Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. Yield curve steepened: 5Y yld went up

Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate.

Yield curve steepened: 5Y yld went up by 20 bps and 30Y yld went up by 25 bps. What is your profit or loss (PnL) for the above position based on duration?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

i need step by step explanation please Q2. Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. Q2a. What is the duration 5y and 20y bond respectively ( 5...

Q2. Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. Q2a. What is the duration 5y and 20y bond respectively ( 5 points)? Q2b. If you short 10 million of 20Y...

Q2. Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. Q2c. Yield curve steepened: 5Y yld went up by 20 bps and 30 y yld went up by 25 bps. What is your...

Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. Yield curve flattened. 5Y yld went down by 15 bps and 30Y yld went down by 20 bps. What is your PnL based...

Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. What is the duration 5y and 20y bond respectively (5 points)?

Five Year rate zero is currently trading at 4% yield and 20 year zero trading at 3.5% rate. If you short 10 million of 20Y bond, how many dollars of long position do you need to take in the 5Y in...

Q1. Two Year rate zero is currently trading at 2.0% yield and FIVE year zero trading at 2.5% rate. Overnight cash yield is 1.5% a. What is the duration for cash, 2y and 5y bond respectively (Show all...

Q1. Two Year rate zero is currently trading at 2.0% yield and FIVE year zero trading at 2.5% rate. Overnight cash yield is 1.5% Q1c. Yield curve flattened: 2Y yld went up by 20 bps and 5Y yld went up...

In the following decision tree model, 1 Continue R&D Stop R&D Prototype Successful (0.75) 2 -$350K Manufacture in house 3 Prototype failure (0.25) Sell the Technology -$450K 4 High Demand (0.6) Low...

(e) A supermarket has two girls at the sales counter. People arrive according to a Poisson fashion at a rate of 10 per hour. If the service time is exponential with a mean of 4 minutes, find i....

Auditors need to assess management's strategies for mitigating risks, but they might be reluctant to issue a going concern opinion because of the serious consequences involved. By exercising...

Draw a class diagram and its relationship based on the following statements. You can use any UML tool/software to represent your class diagram. Do NOT copy and paste your diagram, use the attachment...