Hi guys,
I have a question regarding the formula on Reading 23 section 4.2 Duration matching. I will copy paste the passage as others might search for it.
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I appreciate if you explain the calculations on the last sentence. I wasn’t sure how the denominators 4.5, 5.5 and 5.5 are calculated. The numerators are easy and most probably the difference between the reference point (6 year) and the related yield.
Thanks so much…