Stuck on this payoff question. What is the PnL on 5s10s30s on a swap fly 10k 01, where the fly moves 8 to 26bp?
Any ideas would be much appreciated.
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$\begingroup$ If you have 10k dv01 and the fly moves 18 bps (26 - 8), the PnL would be 180k, with the sign depending on whether you are long or short. $\endgroup$– David DuarteJun 29, 2021 at 7:37
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$\begingroup$ Question should be clarified. "the fly moves 8 to 26bp" means what? That it moved from 8bp to 26bp, or that it moved 8bp to 26bp? $\endgroup$– user42108Jun 30, 2021 at 18:18
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