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 ...

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 ...

So, what is this "negative convexity ... more complicated than the simple long-senior short-junior play that Jardine hypothesizes. Part of the problem is that "convexity", as a concept is not ...

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 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 ...

Speeding up means that there is a positive second derivative, while slowing down means that there is a negative ... convexity more directly, take a look at the following three graphs, all for ...

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 ...