Explain why the duration of an inverse floater is a multiple of the duration of the collateral

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Explain why the duration of an inverse floater is a multiple of the duration of the collateral from which the inverse floater is created.

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:25 AM

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Explain why the duration of an inverse floater is a multiple of the duration of the collateral

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In general an inverse floater is created from a fixedrate security The security from which the inverse floater is created is called the collateral Fro...View the full answer

Bond Markets Analysis and Strategies

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