If you could show the math behind this (rather than just an excel result or...
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If you could show the math behind this (rather than just an excel result or something like that) it would be incredibly helpful. Thank you.
Consider two zero-coupon bonds with maturities T1 = 5 and T2 = 7 years respectively. Suppose the yields for both bonds are about 1%. You have 1 unit of the bond with 5 years maturity, how many units of the bond with 7 years maturity you should sell, in order to create a portfolio that is almost neutral to the small yield change
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