91 40. A fixed-income portfolio manager currently holds a bullet 7-year US Treasury position with USD 60 million face value. The manager would like to create a cost matching barbell portfolio by purchasing a combination of a 2-year Treasury and a 15-year Treasury that would have the same duration as the 7-year US Treasury position. The data for the three US Treasuries are listed below: Maturity Price Duration 2 Years 100.972 1.938 7 Years 106.443 6.272 15 Years 122.175 11.687 Which of the following combinations correctly describes the weights of the two bonds that the manager will use to construct the barbell portfolio? Weight of 2-Year Treasury Weight of 15-Year Treasury
A. 14.22% 85.78%
B. 44.46% 55.54%
C. 55.54% 44.46%
D. 85.78%
How the calculation can be done?
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