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Suppose there are two bonds, a 30-year zero coupon bond and a 2-year zero coupon bond. Currently, the discount rate, y, is 4%. Suppose we
Suppose there are two bonds, a 30-year zero coupon bond and a 2-year zero coupon bond. Currently, the discount rate, y, is 4%. Suppose we are short $1000 in par value of the 30-year zero coupon bond. How much of the 2-year zero coupon bond do we need to buy to be approximately immunized from changes in interest rates
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Handbook Of Asian Finance Financial Markets And Sovereign Wealth Funds
Authors: David Lee, Greg N. Gregoriou
1st Edition
0128009829, 978-0128009826
