Key rate shift: technique
17.9 هزار بار بازدید -
16 سال پیش
-
The key rate shift technique
The key rate shift technique amounts to: Pick several key rates; e.g., 2, 5 10 and 30 year; Make a rule about treating neighbor rates; e.g., linear interpolation; Re-price the bond based on shocking only the key rate (plus its neighbors) but leave the rest of the curve alone. This is the essence of key rates: instead of assumes a parallel shift in the yield curve (duration is the single factor that treats the entire yield curve), we shock/shift selected key rates.
16 سال پیش
در تاریخ 1387/04/22 منتشر شده
است.
17,910
بـار بازدید شده