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Hull 18.11 |
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Equivalent |
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Daily |
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Cash |
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Volatility |
Mapping |
Flows |
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5 Year |
6.00% |
0.50% |
$48.56 |
$64.98 |
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6.5 |
6.75% |
0.56% |
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7 Year |
7.00% |
0.58% |
$605.49 |
$972.28 |
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Correlation |
0.60 |
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Face |
$1,000.0 |
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$654.0 |
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Quadratic Solution |
http://en.wikipedia.org/wiki/Quadratic_equation |
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a |
0.0024% |
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b |
-0.0032% |
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c |
0.0002% |
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weight1 |
7.4243% |
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weight2 |
92.5757% |
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