23. Both the yield curve slope elasticity and effective duration of futures contracts have slope sensitivities that
Question:
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.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Measuring And Controlling Interest Rate And Credit Risk
ISBN: 9780471268062
2nd Edition
Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry
Question Posted: