13. For more details, see Martellini, Priaulet, and Priaulet, Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies.

14. Of course, $duration D3 is only obtained in the Svensson model.

15. An example of calculation of the level, slope, and curvature $durations is given in Martellini, Priaulet, and Priaulet, Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies. See also Andrea J. Heuson, Thomas F. Gosnell, Jr., and W. Brian Barrett, “Yield-Curve Shifts and the Selection of Immunization Strategies,” Journal of Fixed Income (September 1995), pp. 53–64; and Ram Willner, “A New Tool for Portfolio Managers: Level, Slope and Curvature Durations,” Journal of Fixed Income (June 1996), pp. 48–59.

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