IntroductiontotheMeasurementofInterestRates幻灯片.pptVIP

Pricing Error and Convexity Price Yield Duration Pricing error due to Convexity Convexity Adjustment A convexity adjustment can be used to improve the estimate of the percentage price change obtained using duration, particularly for a large change in yield. The convexity adjustment is the amount that should be added to the duration estimate for the percentage price change in order to obtain a better estimate for the percentage price change. The same distinction made between modified duration and effective duration applies to modified convexity adjustment and effective convexity adjust