JB Jerry Brown, CFA (not verified) 30th April 2015 | 3:08pm What is the magic behind the 2*DT - 1 convergence period to the average rolling yield, with DT = duration target? Impressive work - I will tell our clients not to panic! Thanks, Jerry Reply
What is the magic behind the 2*DT - 1 convergence period to the average rolling yield, with DT = duration target? Impressive work - I will tell our clients not to panic! Thanks, Jerry