Capital Markets School
Internal Use Only
Duration
• What if the yield curve shifts during the 24 month time horizon?
Internal Use Only
FNMA Bullet
+300 bp shift Price decreases by 16.95 ULE -$1,999,292
Made with FlippingBook flipbook maker
Internal Use Only
Duration
• What if the yield curve shifts during the 24 month time horizon?
Internal Use Only
FNMA Bullet
+300 bp shift Price decreases by 16.95 ULE -$1,999,292
Made with FlippingBook flipbook maker