Short Rate Dollar Duration

SR_$Dur = -(K_u-K_d)/(r_u-r_d), where

K_u =Asset up payoff, r_u=6.004%

K_d=Asset down payoff, r_d=4.721%

What are the SR dollar durations and SR durations of the following assets?

1) the noncallable bond

2) the call

3) the callable bond

Transcribed Image Text:

Time 0 Time 0.5 Time 1 99.32 0.970857 99.44 NC bond 0.973047 100.4 0.976941 100.03 100.69 100.60 Time 0 Time 0.5 Time 1 99.32 0.970857 99.44 NC bond 0.973047 100.4 0.976941 100.03 100.69 100.60

Answer rating: 100% (QA)

To calculate the shortrate dollar duration SRDur and shortrate duration SR Dur for each asset we nee... View the full answer