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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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
id sg-ntu-dr.10356-11014
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spelling sg-ntu-dr.10356-110142023-05-19T07:23:08Z Duration, convexity and time as components of bond returns. Leo, Pui Ying. Lim, Lay Hoon. Phua, Hui Sim. Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Fixed income::Bonds 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. 2008-09-24T07:50:11Z 2008-09-24T07:50:11Z 2000 2000 Final Year Project (FYP) http://hdl.handle.net/10356/11014 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Fixed income::Bonds
spellingShingle DRNTU::Business::Finance::Fixed income::Bonds
Leo, Pui Ying.
Lim, Lay Hoon.
Phua, Hui Sim.
Duration, convexity and time as components of bond returns.
description 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.
author2 Kang, Joseph Choong Seok
author_facet Kang, Joseph Choong Seok
Leo, Pui Ying.
Lim, Lay Hoon.
Phua, Hui Sim.
format Final Year Project
author Leo, Pui Ying.
Lim, Lay Hoon.
Phua, Hui Sim.
author_sort Leo, Pui Ying.
title Duration, convexity and time as components of bond returns.
title_short Duration, convexity and time as components of bond returns.
title_full Duration, convexity and time as components of bond returns.
title_fullStr Duration, convexity and time as components of bond returns.
title_full_unstemmed Duration, convexity and time as components of bond returns.
title_sort duration, convexity and time as components of bond returns.
publishDate 2008
url http://hdl.handle.net/10356/11014
_version_ 1772825802000302080

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