Answer the below questions. (a) If the correlation between changes in Treasury rates and changes in the
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(a) If the correlation between changes in Treasury rates and changes in the credit spread is zero, what is the duration multiplier?
(b) If during a time period the correlation between changes in Treasury rates and changes in the credit spread is positive, what happens to the duration multiplier?
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a As seen below the duration multiplier is one 1 0 1 b Instead of the du...View the full answer
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