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 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
Appears in Collections: | NBS Student Reports (FYP/IA/PA/PI) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
NBS-REPORTS_353.pdf Restricted Access | 387.47 kB | Adobe PDF | View/Open |
Page view(s) 20
717
Updated on Mar 29, 2024
Download(s)
5
Updated on Mar 29, 2024
Google ScholarTM
Check
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.