Research Article
Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment
Table 2
Interest rate risk faced by convexity gap.
| | Convexity gap | The direction of interest rate change | Changes in net assets |
| | Positive number | Rise | Rise | | Decline | Rise |
| | Negative | Rise | Decline | | Decline | Decline |
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