Techniques for Bond and Swap Traders
Part of the Finance and Capital Markets Series book series (FCMS)
The 2010 9 per cent T-bond pays coupons on 15 April and October each year. For value 15 June, a trader is quoting a two-way price of 10–12 on a big figure of 100.
KeywordsIncome Volatility Dura Hedging Rebalance
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© Charles Errington 1994