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.

  • $\begingroup$ 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. $\endgroup$ Jun 29, 2021 at 7:37
  • $\begingroup$ 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? $\endgroup$
    – user42108
    Jun 30, 2021 at 18:18


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