the negative convexity.* Tax-neutral duration captures the de minimis effect quite dramatically. As the graph below shows, conventional duration misses the mark widely when the price is in or ...

Convexity refers to how much the shape of the curve changes on a graph showing the link between ... the bond is said to have negative convexity. If a bond’s duration rises and yields fall ...

After a while, if your bond is experiencing negative convexity, it also slows down ... take a look at the following three graphs, all for a $1,000 par value bond, with a coupon rate of 3.452% ...

So, what is this "negative convexity" of which Kelleher speaks ... But if you draw a graph with price on one axis and yield on the other, you don't get a straight line, you get a curve.

Significantly higher ($110b) than you might have expected looking at the graph. There is a simple reason for the apparent discrepancy. It is called Negative Convexity. Unlike most bonds ...

The below graph demonstrates the relationship between bond duration ... Generally speaking, there are two forms of convexity: positive and negative. Positive convexity is when the duration of a bond ...

He is a Chartered Market Technician (CMT). Negative convexity exists when the shape of a bond's yield curve is concave. A bond's convexity is the rate of change of its duration, and it is measured ...

Bonds can exhibit positive or negative convexity. A bond whose duration increases when the yield declines has positive convexity. These bonds will experience greater price increases due to falling ...

Analysts and traders use terms like negative convexity and convexity hedging to explain a phenomenon that’s been compared to a “beast” in the market. The result can lead to market distortion ...

Some are also attributing the push lower in yields to a less easily explained phenomenon: hedging against negative convexity in the mortgage market.

Significantly higher ($110b) than you might have expected looking at the graph. There is a simple reason for the apparent discrepancy. It is called Negative Convexity. Unlike most bonds ...