The duration of a portfolio composed of long position in fixed-coupon bonds can be hedged with a single (receiver/payer) swap because the P/L of this
The duration of a portfolio composed of long position in fixed-coupon bonds can be hedged with a single (receiver/payer) swap because the P/L of this swap will(increase/decrease) when rates increase because the (fixed/floating) payments of the swap will(decrease/be unchanged/increase)
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Authors: Andreas Prindl, Bimal Prodhan
1st Edition
1855732564, 978-1855732568
