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Assume that your company is implementing a strategy that requires that the portfolio value P is neutral to changes

in the slope of the yield curve. The appropriate action is to identify an interest rate sensitive security H and trade a quantity q such that:

a.) ∂P∂β1+q∂H∂β1=0∂P∂β1+q∂H∂β1=0

b.) ∂P∂β2+q∂H∂β2=0∂P∂β2+q∂H∂β2=0

c.) ∂P∂β0+q∂H∂β0=0∂P∂β0+q∂H∂β0=0

d.) q = 0

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