curve based duration Flashcards
1
Q
curve based duartion
A
yield based assume that CF do not change with the change of yields
they actually do when we have contingency features
2
Q
effective duration (call)
A
for callable bonds
1.if the rates increase it is very similar to moddur
2.rates drop very less than mod dur because of a call option
3
Q
Effective dur (put)
A
- rates increase more convexity than straight bond
- rates drop as same as straight
4
Q
A