23. Both the yield curve slope elasticity and effective duration of futures contracts have slope sensitivities that

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23. Both the yield curve slope elasticity and effective duration of futures contracts have slope sensitivities that differ in magnitude as well as direction and therefore a portfolio manager should be able to manage the risk of an MBS derivative portfolio with these contracts.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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