How a borrowed bond impact the original portfolio duration, supposing the borrowed bond has the same duartion as the original one?
Definitely larger?
A borrowed bond would lower duration, see your question about adding a repo to a portfolio.
How a borrowed bond impact the original portfolio duration, supposing the borrowed bond has the same duartion as the original one?
Definitely larger?
A borrowed bond would lower duration, see your question about adding a repo to a portfolio.