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

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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

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3
Q

Effective dur (put)

A
  1. rates increase more convexity than straight bond
  2. rates drop as same as straight
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4
Q
A
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