Duration, convexity and time as components of bond returns.

Duration, convexity and time as components of bond returns.

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...

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Bibliographic Details
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
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Institution: Nanyang Technological University
Description
Summary: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 returns analysis when yield change is not instantaneous.

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