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At date t-0- the values of Nelson and Siegel parameters are as follows.pdf

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AlexanderORiWallacez

At date t = 0 , the values of Nelson and Siegel parameters are as follows: Consider the following three bonds (coupon frequency is annual): 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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At date t = 0 , the values of Nelson and Siegel parameters are as follows: Consider the following three bonds (coupon frequency is annual): 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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