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claireteng · 2022年07月02日

为什么convexity是离到期时间的平方？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000217

问题如下：

Why is yield-based convexity likely to be greater than yield-based duration for a ten-year bond (assume that rates are expressed with continuous compounding)?

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解释：

Yield-based convexity is calculated by squaring each cash flow’s time to maturity and then taking a weighted average with weights proportional to the present values of the cash flows. Yield-based duration is a weighted average of the time to maturity of cash flows with the same weights. For a ten-year bond, the former is clearly greater than the later because, for nearly all the cash flows, the square of the time to payment is greater than the time to payment.

为什么convexity是离到期时间的平方？讲义哪里讲过？

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1 个答案

李坏_品职助教 · 2022年07月02日

嗨，努力学习的PZer你好：


这个题目是取自于原版书，讲义确实没讲过。


考试不会考察convexity计算的，重点掌握duration即可。

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努力的时光都是限量版，加油！

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2023-04-24 21:15 2 · 回答

不好意思，没看懂答案，涉及的什么考点？

2020-09-14 15:19 1 · 回答