forward-buckets
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P1.T4.913. Key rates versus partial-01s versus forward-buckets (Tuckman Ch.5)
Learning objectives: Relate key rates, partial ’01s and forward-bucket ’01s, and calculate the forward-bucket ’01 for a shift in rates in one or more buckets. Construct an appropriate hedge for a position across its entire range of forward-bucket exposures. Apply key rate and multi-factor...- Nicole Seaman
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- forward-buckets key-rates multi-factor-analysis partial-'01s portfolio-volatility
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