Question: There are five notes and one bond. Theoretical (not based on actual rates) ontherun Treasury yields for a 2/15/22 settlement date are given with the

There are five notes and one bond. Theoretical (not based on actual rates) ontherun Treasury yields for a 2/15/22 settlement date are given with the maturities. Assume each security is priced at par ($100).

Please use excel and show the formulas.

Note/Bond Maturity Yield/Coupon
2 - Year Note 2/15/2024 1.25%
3 - Year Note 2/15/2054 1.75%
5 - Year Note 2/15/2027 2.25%
7 - Year Note 2/15/2029 3.00%
10 - Year Note 2/15/2032 3.40%
30 - Year Bond 2/15/2052 4.20%

2.) Calculate the portfolio weighted average: duration, convexity, and yield for two different portfolios:

  • Portfolio 1 (Bullet): 25% weight in 3year, 50% weight in 5year, 25% weight in 7year.
  • Portfolio 2 (Barbell): 73% weight in 2year, 16% weight in 10year, 11% weight in 30year.

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