twists
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YouTube T4-23: Fixed Income: Twists are steepening or flattening of the yield curve
The drawback of yield-based duration and convexity is that implicitly they must assume a parallel shift in the rate curve. While there can be many non-parallel shift, the two most common are twists and butterflies. A twist is when the curve steepens or flattens. A STEEPENING is when either (i)...- Nicole Seaman
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- fixed-income flattening steepening twists yield-curve
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- Forum: P1.T4. Valuation & Risk Models