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It has always been Dollar duration = Duration * Portfolio Value * 0.01.
i.e., est change in the portfolio value with a change of interest rate = 1%.
Even in chapter 30 has the same def: see def in 5.3.1 section, so the sentence "The product of the duration and the price is the dollar duration" is technically incorrect, or at least not consistent with the authors' own definition.
Edited 1 time(s). Last edit at Saturday, February 12, 2011 at 07:39AM by elcfa. |
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发表于 2011-7-11 15:25
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