Now assume you have portfolio of treasuries and bonds with weights of 50% Treasuries and...
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Finance
Now assume you have portfolio of treasuries and bonds with weights of 50% Treasuries and 50% Corporates( total MV of portfolio is 10,000,000$). Assume that the interest rate duration of the treasuries is 5 years and the spread duration of corporates is 10 years ( for example you can assume that corporates are 10 year ZC and Treasuries are 5 year ZC)
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