Hi All, what is the duration of a portfolio with 5y zero coupon bond and 5 y 6m floater?
It depends on the market value of each.
And the interest rates in order to discount the cashflows (or cashflow in the case of the zero coupon) am I correct?
Hi All, what is the duration of a portfolio with 5y zero coupon bond and 5 y 6m floater?
It depends on the market value of each.
And the interest rates in order to discount the cashflows (or cashflow in the case of the zero coupon) am I correct?