BOND PORTFOLIO MANAGEMENT – THE ACTIVE & PASSIVE STRATEGY INTEREST RATE RISK Bond price & yields are inter related. As interest rate fluctuate bondholders experience…
Slide 1 Interest-Rate Risk II Slide 2 Duration Rules Rule 1: Zero Coupon Bonds What is the duration of a zero-coupon bond? Cash is received at one time t=maturity weight…
Financial Engineering Interest Rates and Fixed Income Securities Zvi Wiener [email protected] tel: 02-588-3049 Bonds A bond is a contract, paid up-front that yields…
Interest-Rate Risk II Duration Rules Rule 1: Zero Coupon Bonds What is the duration of a zero-coupon bond? Cash is received at one time t=maturity weight = 1 So the duration…