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What is the convexity of portfolio

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Assume you have a portfolio of zero coupon bonds. The first bond is 15 year bond and the other bond is 5 year bond with. Assume the the CURRENT Market value of the first bond is 100,000,000 while the second bond is short and has a market value of -300,000,000. There is also a cash position of 300,000,000 Both bonds are Zero coupon bonds.

What is the Convexity of this portfolio?

Hint: Use the weighted average formula

Reference no: EM133075408

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