fixed-income-mapping

  1. I

    Fixed income mapping

    Hi David, Assume a flat yield curve with spot rate of 4.0% at all maturities and normally distributed yield volatility of 1.0%. We are mapping a two-bond portfolio. Both bonds have a $100 million face value and pay an ANNUAL 4% coupon. One bond has a one year maturity; the other has a five...
Top