Question
An investor with an investment horizon of 1.6 year purchases a 5% coupon bond with 2 years to maturity and a face value of $100?
An investor with an investment horizon of 1.6 year purchases a 5% coupon bond with 2 years to maturity and a face value of $100? The bond is trading at a yield of 5%. Coupons are paid semi-annually. What is this investor's duration gap?
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Dark Finance
Authors: Fabio Mattioli
1st Edition
1503611655, 978-1503611658
