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Duration of inverse floater
Hi David, could you please help on that as far as IF duration is taken into account? An investor owns a portfolio consisting of following 4 bonds: a) 10 million nominal value of 4-year fixed rate bond carrying a coupon of 5% paid semi-annually b) 10 million nominal value of 3.5-year...- maxima20
- Post #12
- Forum: P1.T4. Valuation & Risk Models (30%)
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Duration of inverse floater
can anyone help on the issue above?- maxima20
- Post #5
- Forum: P1.T4. Valuation & Risk Models (30%)
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Duration of inverse floater
Dear all, I am wondering if anyone can help me to calculate prices and durations of below bonds (incl. inverse floaters) An investor owns a portfolio consisting of following 4 bonds: a) 10 million nominal value of 4-year fixed rate bond carrying a coupon of 5% paid semi-annually b) 10...- maxima20
- Post #3
- Forum: P1.T4. Valuation & Risk Models (30%)