Question
Bond A is priced at par with a duration of 6.5 years and yielding 4%. Bond B is priced at 99, has a duration of
Bond A is priced at par with a duration of 6.5 years and yielding 4%. Bond B is priced at 99, has a duration of 12 years and yields 4.4%. You own A. How many of B do you need to sell short in order for your position to be insensitive to (relatively small) changes in interest rates?
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Crypto Spotlight Series Decentraland
Authors: Nott U.r. Keys
1st Edition
979-8854247696
