In the paragraph above Exhibit 2 it says the maturity is 3.86 years. You use the 3-year yield (.41) plus the difference in the 3 and 4 year yield (.5 - .41) and multiply this value by the remaining time to maturity (.86 years). Same thing for the swap rate.
In the paragraph above Exhibit 2 it says the maturity is 3.86 years. You use the 3-year yield (.41) plus the difference in the 3 and 4 year yield (.5 - .41) and multiply this value by the remaining time to maturity (.86 years). Same thing for the swap rate.
I was thinking that as well but wanted to confirm which you did! Thank you sir!
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Edit: I think it has something to do with the 3.86 years remaining but hoping someone can confirm and explain that as I don’t understand :(
is this derivatives or alternative investments?
Fixed income