2 votes

Building a Nelson-Siegel curve

Is it correct to use the YTM? Maybe. These days, for accounting reasons, a lot of bonds out there are callable, and the call is in the money, and the YTW is very different from the YTM. You should ...
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1 vote

IR risk sensitivity to curve instruments

It sounds like you expect the sum of the single impacts to be equal to the impact you get when you move every instrument by 1bp. In theory this should be the case because (assuming two curve ...
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