4. Changes in the yield curve can be defined as follows: Half of any basis point change...

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4. Changes in the yield curve can be defined as follows: Half of any basis point change in the yield curve slope results from a change in the 3-month yield and half from a change in the 30-year yield.

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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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