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Percentage price change convexity adjustment

The convexity adjustment is —1.2% and therefore the bond exhibits the negative convexity property illustrated in Exhibit 4.18. The approximate percentage price change after adjusting for convexity is... [Pg.134]

Convexity adjustment to percentage price change = (Convexity measnre/2) x (Ay) x 100... [Pg.135]

Given the convexity measure, the approximate percentage price change adjustment due to the bond s convexity (i.e., the percentage price... [Pg.133]

For example, for the UK gilt principal strip, the convexity adjustment to the percentage price change based on duration if the yield increases from 4.435% to 5.435% is... [Pg.133]

The approximate percentage price change based on duration and the convexity adjustment is found by summing the two estimates. So, for example, if yields change from 4.435% to 5.435%, the estimated percentage price change would be... [Pg.133]

See other pages where Percentage price change convexity adjustment is mentioned: [Pg.133]    [Pg.133]    [Pg.134]    [Pg.134]    [Pg.136]    [Pg.136]    [Pg.44]    [Pg.46]    [Pg.48]   
See also in sourсe #XX -- [ Pg.133 ]



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