New answers tagged bond
It depends what type of interest rate model you are using. If rates are normally distributed, the situation should be as you describe, so there should be minimal exposure to implied volatility. If rates are lognormally distributed, the higher strike option has greater time value, and has a greater volatility exposure, than the lower strike option, hence ...
I wrote a paper with Alex Shubert. You can get it on archive.org.
You will use the YIELD() and PRICE() functions in Excel. There's really no difference between historic duration calculation and current. You just need the price and settle day. Here's how you do it: Get the settlement day for the day that you are interested. For TSY's it's the next business day. Get the price on the day you care about. Use YIELD() to ...
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