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#asset-swap #finance #gale-using-and-tradning-asset-swaps
In an upward sloping yield-curve environment, a high coupo n bond normally has a lower modified duration than a low coupon bond.
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owner: piotr.wasik - Using and Trading Asset Swaps - Giles Gale (Morgan Stanley), p5

the yield/yield spread. The risk per bp of the bond position has fallen to $75, 825, while the risk per bp on the swap falls to $77,710. So the risk associated with further parallel yiel d curve movements is $1,885/bp. Curve Risk <span>In an upward sloping yie ld-curve environment, a high coupo n bond normally has a lo wer modified duration than a lo w coupon bond. Taking an extreme exam ple to illustrate the problem, consider the 4% and 11¼% Feb ’ 15 US Treasuries. The low coupon bond has a modified duration of 7.955, while the high coupon



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Topic ID 21

posted by: PiotrWasik

all users in topic: PiotrWasik

all tags in topic: bonds duration finance

first message: 07:35, Monday, November 24, 2014

last message: 07:35, Monday, November 24, 2014

messages count: 1

It is an interesting one. I need to read about duration characteristics more.