Hi all
in the BB2 of reading 25 they find the weights using the effective duration. Then in the errata they correct it and use Maturity, not effective duration. Why is not correct to use effective duration?
Furthermore on BB8 they use a similar method to interpolate the S spread using Spread and Duration, which would be consistent with BB8 before they changed it in the errata.
Just don’t get why in BB2 they use Maturity matching and not effective duration.
Thanks