We use dollar duration to work out the change in each portfolio value:
Portfolio A: −2.5 × 90,000 × −0.0025 = +$562.50 increase, so we win.
We hold 8 bonds, so profit = 8 × $562.50 = $4,500.
Portfolio B: −3 × $110,000 × −0.0025 = +$825 increase, so we lose on our short position.
We hold 6 bonds, so loss = 6 × $825 = −$4,950.
Portfolio C: −3.3 × $120,000 × −0.0025 = +$990 increase, so we win.
We hold 12 bonds, so profit = 12 × $990 = $11,880.
Overall portfolio profit = $4,500 + $11,880 − $4,950 = $11,430.
