what is the definition of empirical duration cash flow duration coupon curve duration? in which case, each duration is preffered? Thanks.
i dont think they are preferred in any situations… cash flow duration takes into account that cash flows change w/ interest rates but it also assumes that the psa stays at that rate, thus is it flawed… coupon curve duration, all you do is move up and down the curve to calculate duration- thus is grounded in current rates… however in the mbs mkt this may not be accurate… empirical duration-- the name tells it all