duration mapping

Discussion in 'P2.T5. Market Risk (25%)' started by shanlane, May 6, 2012.

  1. shanlane

    shanlane Active Member

    Hello,

    This may be another silly question, but when we duration map a portfolio of bonds, is this according to the Dmod or Dmac?

    Thanks!

    SHannon
  2. jorion uses modified duration to map. thanks,
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