7% At date t=0, the values of Nelson and Siegel parameters are as follows: |...
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7% At date t=0, the values of Nelson and Siegel parameters are as follows: | po p. B2 T | -2% -1% Consider the following three bonds (coupon frequency is annual): | Bond Maturity Coupon rate Face value 1 year 5% $100 | 5 years 5% $100 | 10 years 5% $100 Calculate the sensitivities of a portfolio consisting of 1 unit of bond 1, 2 units of bond 2 and 3 units of bond 3 to the betas. 7% At date t=0, the values of Nelson and Siegel parameters are as follows: | po p. B2 T | -2% -1% Consider the following three bonds (coupon frequency is annual): | Bond Maturity Coupon rate Face value 1 year 5% $100 | 5 years 5% $100 | 10 years 5% $100 Calculate the sensitivities of a portfolio consisting of 1 unit of bond 1, 2 units of bond 2 and 3 units of bond 3 to the betas
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