schweser mock 2nd Book exam 1 PM Q50
how do you understand the given effective duration “0.25” for cash … from Exhibit 1?
usually we take the beta for 15% of 168M from equity portfolio down to 0 and then to 4.3 for bond portfolio, now the 0 should be 0.25… still can`t get it…
anyone could help?
thx!!
The duration of a floating-rate bond is commonly estimated as half the time between coupon payments / reset dates.
so the 0.25 is half of the half year’s 0.5 Duration?
but cash is supposed to have 0 duration…
Cash is supposed to have whatever duration the author of the question says it has.