In finance, bond convexity is a measure of the non-linear relationship of bond prices to changes in interest rates, and is defined as the second derivative...
16 KB (2,090 words) - 17:43, 27 February 2024
F|i-i_{F}|({\frac {1-(1+i)^{-N}}{i}})} List of bond valuation topics Asset swap spread Bond convexity Bond duration Bond option Clean price Coupon yield Current...
18 KB (2,476 words) - 23:06, 31 March 2024
Greeks (finance) (section Bond duration and convexity)
In general, the higher the convexity, the more sensitive the bond price is to the change in interest rates. Bond convexity is one of the most basic and...
44 KB (5,388 words) - 08:00, 18 April 2024
Duration (finance) (redirect from Bond Duration)
Corporate Bond Index on Dec 31, 2020. The ratio is simply the yield offered (as a percentage), divided by the bond duration (in years). Bond convexity Bond valuation...
42 KB (6,504 words) - 10:34, 17 April 2024
Greeks. In practice the most significant of these is bond convexity, the second derivative of bond price with respect to interest rates. As the second...
6 KB (829 words) - 11:36, 15 January 2024
Option-adjusted spread (category Bond valuation)
and vice versa, the basic (pass-through) MBS typically has negative bond convexity (second derivative of price over yield), meaning that the price has...
6 KB (683 words) - 12:35, 1 April 2023
of smooth convex bodies. Bond convexity - a measure of the non-linear relationship between price and yield duration of a bond to changes in interest rates...
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in yield, even if the bonds comprising the index remain constant. A bond's convexity and the value of any embedded options (e.g. call provisions) also change...
7 KB (1,036 words) - 08:17, 27 November 2023
Wiley & Sons. January 2005. ISBNÂ 978-0-470-01175-1 Bond convexity Bond duration Bond option Callable bond Credit risk CS01 Discount rate DV01 Financial risk...
6 KB (698 words) - 12:38, 12 April 2024