Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/11014
Title: Duration, convexity and time as components of bond returns.
Authors: Leo, Pui Ying.
Lim, Lay Hoon.
Phua, Hui Sim.
Keywords: DRNTU::Business::Finance::Fixed income::Bonds
Issue Date: 2000
Abstract: 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.
URI: http://hdl.handle.net/10356/11014
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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