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convexity

  1. Nicole Seaman

    P1.T4.910. Barbells and bullets (Tuckman Ch.4)

    Learning objectives: Explain the process of calculating the effective duration and convexity of a portfolio of fixed income securities. Explain the impact of negative convexity on the hedging of fixed income securities. Construct a barbell portfolio to match the cost and duration of a given...
  2. Nicole Seaman

    P1.T4.909. Effective duration and convexity (Tuckman Ch.4)

    Learning objectives: Define, compute, and interpret the effective duration of a fixed income security given a change in yield and the resulting change in price. Compare and contrast DV01 and effective duration as measures of price sensitivity. Define, compute, and interpret the convexity of a...
  3. G

    Convexity and Volatility

    Hi everyone, It's my first time posting but I've been reading the forums since I enrolled for the FRM part I more than a year ago and I wanted, before anything else, to thank you all, particularly David, for all the help I've gotten from such a knowledgeable and supportive community while...
  4. J

    The price sensitivity of bonds is measured using convexity, duration..

    Please, could you anyone explain me why the convexity increase at an increasing rate as duration increase. I think that the duration should be decrease at an increasing rate. Best regards
  5. R

    CFA Annualized Convexity

    Hi All Could someone please explain why we divide convexity by periodicity squared to get annualized convexity. Thanks for the help.
  6. D

    Convexity and V+ / V-

    Hello, I am trying to work on convexity and duration exercises but every time I need the V+ and V- of a bond for my formulas and can't find how to calculate them. Here's an example: I have a bond 9% Coupon. 20 year 6% YTM At 134.622 And a 20bp change in Yield. The convexity formula asks me...
  7. David Harper CFA FRM

    Interest Rate Risk Modeling 2017-09-06

    This is technical but one of the most robust reviews of duration and convexity that you can find. For example Chapter 2 Bond Price, Duration and Convexity Bond Price under Continuous Compounding Duration Convexity Common Fallacies Concerning Duration and Convexity Simple Counter Examples...
  8. Nicole Seaman

    P1.T3.715. Par yield, convexity and term structure theories (Hull Chapter 4)

    Learning objectives: Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates. Compare and contrast the major theories of the term structure of interest rates Questions: 715.1. Consider the following continuously compounded zero (spot) rate curve...
  9. Nicole Seaman

    P1.T3.714. Duration, modified duration and dollar duration (Hull Chapter 4)

    Learning objectives: Calculate the duration, modified duration, and dollar duration of a bond. Evaluate the limitations of duration and explain how convexity addresses some of them. Questions 714.1. A very risky two-year bond with a face value of $100.00 pays a semi-annual coupon of 18.0% and...
  10. Arka Bose

    Short convexity/ gamma

    Just thought I would like to share how you actually loose money regardless of the direction of the underlying when you are short gamma (or convexity) by shorting an option. ∆a be the underlying shares (or bonds whatever) we know convexity as ∆a+ 1/2 Г a^2 Thus, our net position will be ∆a -...
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