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Key rate calculations
David, Thanks for the prompt clarification. I see now why it is not easy using the slide to explain the calculation. Thanks for the Excel. One suggestion - as the key rate shift is small - with the difference after the 2 decimal places, the differences after the shock is not apparent from...- panweiyou
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- Forum: Fixed Income (P1.T4 or P2.T5)
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Key rate calculations
Hi David In the Fixed Income training part 2, on slide LO 24.3 to calculate the key rate exposures for a given security, I wonder how the values on the slide are arrived ? Could you explain how for example the values 92,722.64, 92,716.14, 92,676.69 and 92,682.84 are arrived?- panweiyou
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- Replies: 6
- Forum: Fixed Income (P1.T4 or P2.T5)