convexity
- 최초 등록일
- 2013.02.03
- 최종 저작일
- 2011.11
- 2페이지/ MS 워드
- 가격 1,000원
소개글
채권 convexity
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본문내용
The Convexity of Bond
Duration is the tool which is estimate the price sensitive of bond. However, assuming the price change rate of bond only using the duration could makes error because of the convexity of bond. Because duration considers only the weighted average of the present value of the cash flows of bond, they have to consider convexity of bond additionally for more accurate estimation of interest rate risk. Convexity is the curve line which is representing the relationship between bond price and bond yield. The degree to which the curved line shows how much a bond’s yield changes in response to a change in price and how much a bond’s duration
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