Kā aprēķināt Bond Convexity
Kas ir Bond Convexity?
Convexity measures how bond duration changes with yield, capturing nonlinear price-yield relationship missed by duration alone.
Soli pa solim ceļvedis
- 1Input bond parameters: coupon, yield, maturity
- 2Calculate convexity
- 3Estimate price change accounting for both duration and convexity
Worked Examples
Ievade
Long-duration bond with high convexity
Rezultāts
Larger price gains in falling yields than losses in rising yields
Convexity positive for bullet bonds
Common Mistakes to Avoid
- ✕Using duration alone for large yield changes
- ✕Neglecting option-adjusted analysis for callable bonds
Frequently Asked Questions
Can convexity be negative?
Yes, for callable bonds when rates fall and issuer likely calls.
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