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An analyst has constructed an interest rate tree for an on-the-run Treasury security. The analyst now wishes to use the tree to calculate the duration of the Treasury security. The usual way to do this is to estimate the changes in the bond’s price associated with a: A. parallel shift up and down of the yield curve. B. parallel shift up and down of the forward rates implied by the binomial model. C. shift up and down in the current one-year spot rate all else held constant. |