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U have a corporate portfolio with spread duration of 4 years. Assuming the portfolio appreciated by 2% what was the spread movement to cause this
U have a corporate portfolio with spread duration of 4 years. Assuming the portfolio appreciated by 2% what was the spread movement to cause this appreciation? ( spread duration formula solve for the spread change!!)
-50 bps | ||
+50 bps | ||
+65 bps | ||
-65 bps |
please explain and show work
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