modified convexity
1convexity — A measure of the sensitivity of duration to changes in yield levels. Convexity is a measure of the stability or instability of the measured duration over a range of yields. If convexity is low, that is, if the price/yield relationship is close to …
2modified duration — Macaulay duration adjusted for compounding. The figure for Macaulay duration is divided by the sum of one plus the rate divided by the number of compounding periods per year. A more accurate measure of the weighted average time remaining until… …
3Bond convexity — In finance, convexity is a measure of the sensitivity of the duration of a bond to changes in interest rates, the second derivative of the price of the bond with respect to interest rates (duration is the first derivative). In general, the higher …
4Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …
5Fixed income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio …
6Fixed-income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio …
7positive duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has positive duration, its price increases in response to a decrease in prevailing market rates.… …
8Differential geometry of surfaces — Carl Friedrich Gauss in 1828 In mathematics, the differential geometry of surfaces deals with smooth surfaces with various additional structures, most often, a Riemannian metric. Surfaces have been extensively studied from various perspectives:… …
9negative duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has negative duration, its price decreases in response to a decrease in prevailing market rates.… …
10Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …
