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What are the convexities of the portfolios in Problem 8.16?

18 / 01 / 2019 Research Papers

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8.17. What are the convexities of the portfolios in Problem 8.16? To what extent does (a)… 1 answer below » 8.17.   What are the convexities of the portfolios in Problem 8.16? To what extent does (a) duration and (b) convexity explain the difference between the percentage changes calculated in part (c) of Problem 8.16? 8.18.      When the partial durations are as in Table 8.5, estimate the effect of a shift in the yield curve where the ten-year rate stays the same, the one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0. How could your answer be calculated from the results for the View complete question » 8.17.   What are the convexities of the portfolios in Problem 8.16? To what extent does (a) duration and (b) convexity explain the difference between the percentage changes calculated in part (c) of Problem 8.16? 8.18.      When the partial durations are as in Table 8.5, estimate the effect of a shift in the yield curve where the ten-year rate stays the same, the one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0. How could your answer be calculated from the results for the rotation calculated in Section 8.6? View less » Nov 16 2015 11:38 AM


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