Question: Answer the below questions. (a) If the correlation between changes in Treasury rates and changes in the credit spread is zero, what is the duration

Answer the below questions.
(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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