interest-rate-models
-
P1.T4.24.13. Interest Rate Models, DV01 Calculation, and Hedging implications
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...- Nicole Seaman
- Thread
- convexity duration dv01 fixed-income-securities hedging interest-rate-factor interest-rate-models
- Replies: 0
- Forum: FRM® Practice Questions