Search results
-
F
Just a technical clarification on T5.c/Mapping a two-bond portfolio (Jorion 11-2)
Hi David, I encountered the same issue where I also obtained a Macaulay duration of 2.727. I watched the YouTube video provided by BT, titled "T5-05: Value (VaR) Mapping a Fixed-Income Portfolio". I believe the issue lies in the duration calculation for the 5-year 6% coupon bond, which I...- FLIN1386
- Post #4
- Forum: P2.T5. Market Risk (25%)