Question: 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.

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 by 15 bps. What is your profit or loss (PnL) for the above position based on duration?

Q1d. Yield curve steepened. 2Y yld went down by 15 bps and 20Y yld went down by 10 bps. What is your PnL based on duration?

Q1e. What is your position in cash for the zero-cost portfolio? What is your one day interest carry (net int pmt) for the zero-cost duration neutral position

Please show all work and equations for all questions.

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