What is meant by the spread duration for a floating-rate bond?
Answer to relevant QuestionsExplain why the duration of an inverse floater is a multiple of the duration of the collateral from which the inverse floater is created. Some authors give the following formula for the approximate convexity measure: where the variables are defined as in equation (4.24) of this chapter. Compare this formula with the approximate convexity measure given by ...State why you would agree or disagree with the following statement: If two bonds have the same dollar duration, yield, and price, their dollar price sensitivity will be the same for a given change in interest rates. You observe the following Treasury yields (all yields are shown on a bond equivalent basis): All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zero-coupon instruments. ...Bart Simpson is considering two alternative investments. The first alternative is to invest in an instrument that matures in two years. The second alternative is to invest in an instrument that matures in one year and at the ...
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