The timing for this $100 is calculated as 1/365 in the example.
Since other CFs are not IR-sensitive, their duration should be 0 if I understand the concept of duration correctly. Then can I just use 0 instead of 1/365?
I know the difference is tiny, but I want to confirm which value is conceptually correct.
In cell M47 they have 0.10% which is used for the change in yield, is it reasonable to assume that 0.10% should always be used unless stated otherwise? I see it also notes this at the bottom of page 6 in the source paper, that it should remain small and 10 bps as an example.
Comments
Think its just some other miscellaneous Cash Flows
The timing for this $100 is calculated as 1/365 in the example.
Since other CFs are not IR-sensitive, their duration should be 0 if I understand the concept of duration correctly. Then can I just use 0 instead of 1/365?
I know the difference is tiny, but I want to confirm which value is conceptually correct.
Which cell are you looking at? I do not see the $100 being discounted
In cell M47 they have 0.10% which is used for the change in yield, is it reasonable to assume that 0.10% should always be used unless stated otherwise? I see it also notes this at the bottom of page 6 in the source paper, that it should remain small and 10 bps as an example.
yup you can always use 0.1%