Duration, convexity, DV01

Discussion in 'Fixed Income (P1.T4 or P2.T5)' started by wrongsaidfred, Nov 3, 2011.

  1. wrongsaidfred

    wrongsaidfred Member

    Hi David,

    I know this may be a lot to ask, so I appologize in advance, but I was wondering if you had any documents that listed the effects of maturity, yield and coupon on convexity duration and DV01. I think I know the basics, but as far as "If yield remains constnat while the coupon increases..." type of scenarios do not seem terribly intuitive.

    If you have any info on this or a nice summary or even a source that ties this up nicely it would be sincerely appreciated.

    Thanks,
    Mike
  2. Hi Mike,

    For myself, I get the most from the spreadsheets, we've got most of those Tuckman concepts in the spreadsheets.

    Text-wise, I have some advanced texts, but actually the assigned Tuckman chapters are still the best I'm aware of. Tuckman Ch 5 & 6 pretty much covers it. Thanks, David
  3. wrongsaidfred

    wrongsaidfred Member

    Thank you.
    Mike

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