medium · Debt Capital Markets
A trader builds a DV01-neutral steepener by going long $447 million of a 2-year bond and shorting $100 million of a 10-year bond.
If the yield curve shifts upward in a perfectly parallel 10 basis point move, what is the approximate P&L impact?
- A gain due to the positive convexity of the 2-year bond.
- A gain because the short position is smaller in face value.
- A large loss due to the high duration of the 10-year bond.
- Zero
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