Duration, convexity and time as components of bond returns.

• Main Authors: Leo, Pui Ying., Lim, Lay Hoon., Phua, Hui Sim.
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Fixed income::Bonds
• Online Access: http://hdl.handle.net/10356/11014
• Institution: Nanyang Technological University

The paper seeks to determine the components of bond returns when yield changes is not instantaneous. The traditional measure of bond returns, duration and convexity, is accurate only for an instantaneous yield change. The inclusion of bond theta in the bond return analysis significantly improves the...