November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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76 FIXED INCOME AND INTEREST RATE DERIVATIVE ANALYSIS
a better hedge. The assumption that all rates move in unison suggests that
anything can be hedged by choosing the appropriate number of any other
instrument. This is clearly fallacious so we now introduce a method which
results in better actual hedging performance.
4.5.2 Key
rates
The essence of the problem with the simplistic use of PVBP as outlined
above was the untenable assumption that all rates moved in unison. The
key rate approach as outlined in Chapter 2 instead selects a small number
of key rates and then ...
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