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  1. Nicole Seaman

    P1.T4.907. The coupon effect and carry roll-down scenarios (Tuckman Ch.3)

    Learning objectives: Define the coupon effect and explain the relationship between coupon rate, YTM, and bond prices. Explain the decomposition of P&L for a bond into separate factors including carry roll-down, rate change, and spread change effects. Identify the most common assumptions in carry...