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I have part a I need help with part B and C please. Thank you :) Question 12: The formula for duration (assuming a parallel
I have part a I need help with part B and C please. Thank you :)
Question 12: | The formula for duration (assuming a parallel shift in interest rates) and for spread duration (assuming a parallel shift in credit spreads) produce the same result. | ||||
(a) How is empirical duration estimated? | |||||
(b) Is empirical duration typically greater than or less than the analytical duration computed through the formula for spread duration? Why? | |||||
(c) Is the difference between empirical duration and the formula for analytical duration generally greater for investment grade or non-investment grade bonds? Why?
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