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%
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Foundations Of Financial Markets And Institutions
Authors: Franco Modigliani, Frank J. Jones, Michael G. Ferri, Frank J. Fabozzi
3rd Edition
0130180793, 978-0130180797
