A substitution swap is an exchange of bonds undertaken to extend the duration of a portfolio adjust for differences in the yleld spread reduce the duration of a portfolio profit from apparent mispricing between two bonds change the credit risk of a portfolio A substitution swap is an exchange of b...

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Posted Date: Dec 16, 2023 08:34 AM

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Fixed Income Analysis

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