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- UID
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- 帖子
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- 2011-7-11
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- 2014-8-7
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| yes futures could have negative convexity. futures have MTM effects as well as the CTD bond could change. in short it is possible for futures to have negative convexity whereas an individual bond has positive convexity if it’s a plain bullet non callable |
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发表于 2013-8-8 09:04
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