yield-based-dv01
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Key rates defined in terms of par yields infer the hedge position
Hi David On page 170 of VRM, GARP says that when key rates are defined in terms of par yields, one can immediately calculate the position necessary to hedge a portfolio once the exposure of the portfolio to the key rates are calculated. I think I am struggling to see why all the changes in...- rohinjain
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- hedging key-rate par-yield yield-based-dv01
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- Forum: P1.T4. Valuation & Risk Models (30%)