negative-duration

  1. R

    IO/PO Strip Effective Duration query

    Hi David, Need your guidance with regards to the below question from the end of GARPs Market Risk book. Consider IO/PO strips based on original pass through MBS whose effective duration is 5 years. If the PO tranche has an effective duration of 20 years, what would most likely be the effective...
  2. A

    duration of IO

    Hi David, I know MBS IO has negative duration. But I wonder if the IO from treasury strip has positive duration as a regular bond? Thanks.
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