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- UID
- 223424
- 帖子
- 319
- 主题
- 22
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-7
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| 1. 首先，如果我们想得到effective duration和effective convexity，我们必须得到利率变化后的V+和V-；如果我们用二叉树模型估计含权债券的value的话，步骤如下（以V+为例）：Step 1 Given the market price of the issue calculate its OAS using the procedure described earlier. Step 2 Shift the on-the-run yield curve up by a small number of basis points ( |
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发表于 2013-8-20 11:36
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