C3
Ladder, Barbell and Bullet
Compare the classic portfolio structures at the same duration: a ladder of equal rungs, a barbell at the two ends of the range and a bullet in the middle, built from par Treasuries on a stored curve, with their yield, convexity and returns when the curve moves.
Learning focus: barbells carry more convexity, and which structure wins in which curve move.
Portfolios
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Par Treasuries at every whole-year maturity: each coupon is the curve's par yield, so every bond starts at 100.
Loading the Treasury curve…