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Level II
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Fixed Income
Fixed Income
Medium
An MBS pass-through security is priced at $101.00. When the yield curve shifts down 100bp, the price rises to $103.80. When yields shift up 100bp, the price falls to $96.50. The effective duration of this MBS is closest to:
A
3.61
B
7.30
C
3.80
D
4.50
Select an answer to continue
Tags
#effective-duration
#mbs
#negative-convexity
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