Why is it that currently, if UK CPI data comes out higher than expected, the 5Y point of the yield curve takes the hit leads the move in 2/5/10? Should 2Y rates be taking the biggest hit as the MPC is likely to raise rates to fight inflation and then be on hold?
Hi. On a related theme, suppose we enter into a Constant Maturity Swap for 2Y, which exchanges Libor for 10YCMS. What would the duration of this swap be? Would it be approx 10Y throughout the tenor of the swap?