Bond convexity
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14 سال پیش
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Just as (Macaulay) duration is
Just as (Macaulay) duration is weighted average maturity of bond, convexity is weighted average of maturity-squares of a bond (where weights are PV of bond cash flows). Dollar convexity is also the second derivative (d^2P/dy^2); i.e., the rate of change of dollar duration.
Note: the corresponding blog entry at our website contains the downloadable spreadsheet I used here.
Note: the corresponding blog entry at our website contains the downloadable spreadsheet I used here.
14 سال پیش
در تاریخ 1389/04/09 منتشر شده
است.
87,508
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