Unformatted text preview: 6. Duration of a portfolio – market value weighted 7. Contribution of duration of a bond or sector 8. Spread duration – is a measure of the price sensitivity of non-treasury securities in response to a change in the spread. In other words, how volatile is the underlying spread of a security 9. Compare and contrast the three spread duration measures used for fixed-rate bonds: nominal, zero volatility and OAS 10. Compute and interpret spread duration of a portfolio 11. End of chapter problems – 10, 12 and 13 12. Homework problems...
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This note was uploaded on 04/04/2012 for the course ECON 313 taught by Professor India during the Spring '12 term at University of San Francisco.
- Spring '12