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. David Harper CFA FRM

    David Harper CFA FRM David Harper CFA FRM (test)

    jorion uses modified duration to map. thanks,
     
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