question:
Suppose that the 12-month and 30-month spot rates are chosen as key rates. Plot the key rate 01 shifts.
why is the 12-month shift plotted so that the shift starts from maturity 0 and then starts the decline from maturity 1 (12 months) onwards whereas the plotting the 30.month spot...
Hi David,
I’m trying to wrap my head around key rates and therefore have a few questions. I tried searching the forum but couldn’t find the answer.
In Tuckmans example all securities seems to have the same maturity as a key rate, but one point of key rates were to keep them as few as possible...
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...
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