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Seems like GoneFishing (allepourpecher) disagreed with eadesr, then made the exact same argument.
INTEREST RATE RISING
if long put, option value falls (so does portfolio) hence duration was increased
if long call, option value increases (portfolio falls) so you have made the net decrease in portfolio smaller. That sounds like duration decreased. |
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发表于 2011-7-13 13:11
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