interest-rate-factor

Learning Objectives: Describe a one-factor interest rate model and identify common examples of interest rate factors. Calculate the DV01, duration, and convexity of a portfolio of fixed-income securities. Describe an example of hedging based on effective duration and convexity. Questions...

Learning objectives: Describe an interest rate factor and identify common examples of interest rate factors. Define and compute the DV01 of a fixed income security given a change in yield and the resulting change in price. Calculate the face amount of bonds required to hedge an option position...