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- 2011-7-11
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- 2014-8-4
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The question involves selling a 5 year bond and using the proceeds to buy a 10 year while maintaining the dollar duration of the portfolio.
I don’t understand the solution, which is to multiply the price/par value * duration * par value * 0.01. This is divided by (the duration of the 10 year * quoted price * .01).
This is the par value of the 10-year in order to execute the strategy. Can someone explain in simple engish why you’re doing the calculations? I understand the first step gets you the dollar duration, but that’s about it |
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发表于 2013-4-2 11:14
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