Question
Assume that the spread duration of a bond u SHORT is 3 years. u have a POSITIVE return of 3% for your position. What is
Assume that the spread duration of a bond u SHORT is 3 years. u have a POSITIVE return of 3% for your position. What is the spread appreciation/depreciation that caused this 3% of positive return ?
hint: ATD U short!
| +1% | ||
| -1% | ||
| +0.5% | ||
| -0.5% |
please explain and show work
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Finance For Managers
Authors: E. Martinez Abascal
1st Edition
0077140079, 9780077140076
