Question
Short Rate Dollar Duration SR $ Dur = -(K u -K d )/(r u -r d ), where K u =Asset up payoff, r u
Short Rate Dollar Duration
SR$Dur = -(Ku-Kd)/(ru-rd), where
Ku =Asset up payoff, ru=6.004%
Kd=Asset down payoff, rd=4.721%
What are the SR dollar durations and SR durations of the following assets?
1) the noncallable bond
2) the call
3) the callable bond
Time 0 Time 0.5 Time 1 99.32 0.970857 99.44 NC bond 0.973047 100.4 0.976941 100.03 100.69 100.60
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9814366544, 978-9814366540
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