What the heck, they do not use the the yield beta. I gonna scream.
This was discussed in the thread earlier, I have formed my conclusion based on stromey post as below: The CFAI text (vol 4., pg. 110) gives the formula without the yield bate in the context of duration management then on page 112 it gives the same formula but with the addition of yield beta in the context of duration hedging ,it then goes on to say that the three major sources of hedging error are: 1) incorrect duration calculation 2) inaccurate projected basis value 3) inaccurate yield beta estimate So I guess I would agree Don’t use yield beta if you are told to change the duration Use yield beta if you are told to hedge the position or implement a duration hedge +++ the above can be confirmed when you refer the CFAI text …as I mentioned earlier the entire reading 43 which covered changing during has no mention of yield beta or any similar solved example or EOC on the same
gosh, I need to do all of this gimnastic to understand that. Darn, i think this a strech of immagination. yield beta is very importand concept. I hate CFAI and I really do.