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  1. R

    IO/PO Strip Effective Duration query

    Hi David, Need your guidance with regards to the below question from the end of GARPs Market Risk book. Consider IO/PO strips based on original pass through MBS whose effective duration is 5 years. If the PO tranche has an effective duration of 20 years, what would most likely be the effective...
  2. F

    Can someone explain what is negative duration ?

    As per the definition "Duration is the average time one has to wait till the payment is received". Going by this if, say, duration is 2.5 years means I would receive my money in ~2.5 years. Well. But, as you may be aware, there are some securities IO strips and FRNs, which are said to exhibit...
  3. A

    duration of IO

    Hi David, I know MBS IO has negative duration. But I wonder if the IO from treasury strip has positive duration as a regular bond? Thanks.