|
- UID
- 223348
- 帖子
- 250
- 主题
- 63
- 注册时间
- 2011-7-11
- 最后登录
- 2013-8-22
|
Calculating effective duration in a binominal tree
On page 304 of the fixed income curriculum (and page 198 of Schweser) in step 3, why are we constructing a binomial tree on the "yield curve"?
Why yield curve? I guess I'm totally lost, but I thought we built the tree using the one-year T-bill.
Thanks.
- Robert |
|
发表于 2011-7-11 20:00
|