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

Question:

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

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

See More Books

Question Posted: Aug 22, 2015 07:25 AM

See More Questions

The duration of an 11-year, $1,000 Treasury bond paying a 10 percent semiannual coupon and selling at par has been estimated at 6.763 years. a. What is the modified duration of the bond? What is the...
By how much does the duration of an optical day exceed that of a geometric day? Model the Earths atmosphere as uniform, with index of refraction 1.000 293, a sharply defined upper surface, and depth...
Explain why there is an inverse relationship between planned detection risk and the amount of evidence an auditor collects for a specific audit objective.
Given, R = 192 R = 22 C=2F C=4F (1) V www R www R R R C The time constants (in S) for the circuits I, II, III are respectively (A) 18, 8/9, 4 (C) 4, 8/9, 18 (II) (B) 18, 4, 8/9 (D) 8/9, 18, 4 R3 (III)
A bakery wants to evaluate new recipes for carrot cake. It decides to ask a random sample of regular customers to evaluate the recipes by tasting samples of the cakes. After a customer tastes a...
identify the advantages and disadvantages of the client/server architecture in comparison with traditional approaches;
2. Develop a work breakdown structure.
On December 31, 2010 Brown Company's inventory burned. Sales and purchases for the year had been $1,400,000 and $980,000, respectively. The beginning inventory (Jan. 1, 2010) was $170,000; in the...
Ava School of Learning obtained a charter at the start of the year that authorized 50,000 shares of no-par common stock and 20,000 shares of preferred stock, par value $10. During the year, the...
We have sampled a low-pass signal with a bandwidth of 200 KHz using 1024 levels of quantization. a. Calculate the bit rate of the digitized signal. b. Calculate the SNRdB for this signal. c....
What is meant by the spread duration for a floating-rate bond?
Consider the following portfolio: (a) What is the portfolios duration? (b) If interest rates for all maturities change by 50 basis points, what is the approximate percentage change in the value of...
In November and December 2017, Gee Company, a newly organized magazine publisher, received $36,000 for 1,000 three-year subscriptions at $12 per year, starting with the January 2018 issue of the...
Assume a Poisson distribution with =5.6. Find the following probabilities. a. X=1 b. X <1 c. X>1 d. X1 a. P(X=1)= (Round to four decimal places asneeded.) b. P(X <1)= (Round to four decimal places...
345879 The any reported the following January purchases and sales data for its only prauct. The company uses a perpetual inventory system. REQUIRED: Determine the cost assigned to ending inventory...
How do changing geopolitical landscapes, such as shifting alliances and emerging power centers, influence conflict resolution strategies, and what adjustments are necessary to address new global...
50 21 2. Determine the inclination and period of the satellite which produced the ground trace below. Show all calculations. Suteite 17 11-140-130-120-110 tonn an 20 6058 am 50 210 0 10 20 30 50 60...
This activity aims to provide practical experience in preparing tax forms related to business income and depreciation. It emphasizes the importance of accurate reporting and adherence to tax...
The temperature that would exist at a point in the flow if the fluid elements were brought to rest adiabatically at that point. For each of these chemically reacting flows, is $T_{0}$ constant or...
Sheldon and Leonard had a million-dollar idea. In order to make it happen, they have to do special research first. Only Kripke can help them in this matter. But Kripke is known to be the first-class...
If an auditor finds no reportable conditions during an audit of a government entity, how is this reported under Government Auditing Standards?
Answer the below questions (a)What is the basic underlying principle in animmunization strategy? (b)Why might the matching of the maturity of acoupon bond to the remaining time to maturity of a...
Suppose that the active return for a portfolio over the past year was 130 basis points after management fees. What questions would you have to before concluding that the managers performance was...
A financial institution has hired three external portfolio managers: X, Y, and Z. All three managers have the same benchmark. A performance attribution analysis of the portfolios managed by the three...
Oct. 31: Paid salaries, $45,000 ( 75% selling, 25% administrtive). Data table Data table them to retail stores. The company has three inventory items: and floor lamps. RLC uses a perpetual inventory...
question 1- You borrow a simple loan of SR 500,000, interest rate is 20%, it matures in one year. what's the yied to maturity? question 2- calculate_i for One-Year Discount Bond with price(p) =...
Taste of Muscat is a reputed chain of restaurants operating in Oman. Assume You are working as a management accountant for this restaurant chain which is specialized in all types of Arabic food. Your...

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

Question:

Step by Step Answer:

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

Students also viewed these Corporate Finance questions