All Questions
Tagged with fixed-income convexity
20
questions
2
votes
1
answer
2k
views
Proof of the convexity adjustment formula
Let $y_0$ be the forward bond yield observed today for a forward contract with maturity $T$, $y_T$ be the bond yield at time $T$, $B_T$ be the price of the bond at time $T$ and let $\sigma_y$ be the ...
- 2,542
5
votes
1
answer
5k
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Why does a barbell portfolio have higher convexity than a bullet porfolio
I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio.
I can easily understand how the parallel line represents duration but I cannot see what the ...
- 2,542
-3
votes
2
answers
1k
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Why Is Bond Time Value Risk Not Considered in Bond Immunization?
I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond ...
- 2,806
0
votes
2
answers
481
views
Duration vs. Convexity Contradiction
A lower coupon bond exhibits higher duration, which means higher price volatility with changing YTM.
A lower coupon bond also exhibits higher convexity. However, with higher convexity, bond prices ...
- 3
9
votes
1
answer
1k
views
Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
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