Question: Q2. Consider 3 zero coupon bond: Maturity Yld: 10 1.50%; 20 2.00%; 30 2.25% Q2c. What is the dur and convexity effect of 5 bps

Q2. Consider 3 zero coupon bond: Maturity Yld: 10 1.50%; 20 2.00%; 30 2.25%

Q2c. What is the dur and convexity effect of 5 bps steepening caused by 10Y up 10 bps; 20Y up 15 bps for the 10 vs 20Y trade?

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