Problem 5 (10 points) Suppose you observe the following yield curve: 1 ma 3 mo. 6 ma 1 yr 2 YI 3 yr 5 YI 7 YI 10 Y 20 Y 30 YI 0.12% 0.22% 0.44% 0.61% 0.79% 0.92% 1.20% 1.48% 1.66% $2.06% 2.39% Explain how you could implement a rolling down the yield curve strategy using a 5-year bond with a 2-year holding period. What do you receive from price appreciation? You must assume the yield curve remains the same.

Problem 5 (10 points) Suppose you observe the following yield curve: Explain how you could implement a rolling down the yield curve strategy using a 5-year bond with a 2-year holding period. What do you receive from price appreciation? You must assume the yield curve remains the same