Duration, convexity and time as components of bond returns.

• المؤلفون الرئيسيون: Leo, Pui Ying., Lim, Lay Hoon., Phua, Hui Sim.
• مؤلفون آخرون: Kang, Joseph Choong Seok
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Fixed income::Bonds
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/11014

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.