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3#
发表于 2011-7-13 16:12
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because you are receiving a fixed rate of return. FLoating rate bonds will have a lower duration, because the coupon resets to market rates (hence less sensitive to interest rate shifts)
fixed coupon bonds will be more sensitive to interest rate changes (because their coupons dont reset to market rates).
So to increase duration, buy fixed coupon bonds - OR enter into a swap where i receive a fixed cash flow (and therefore would be paying floating) |
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