Convex
Bowed, as in the shape of a curve. Usually referring to the price/required yield relationship for option-free bonds. ...
Convexity
The bowed shape of the price/required yield curve for option-free bonds.
Related Terms ...
convexity bias
Cox, Ingersoll and Ross (1981) and Jarrow and Oldfield (1981) suggest that daily margin payments on futures may cause forward and futures prices to diverge.
convexity
in bonds and other fixed-income securities, a measure of the rate of change in duration .
Convexity
A measure of the rate of change in duration; measured in time.
The greater the rate of change, the more the duration changes as yield changes.
Negative goodwill ...
EFFECTIVE CONVEXITY - The convexity of a bond calculated using cash flows that change with yields.
EFFECTIVE DATE - Is the day that a new issue begins trading in the secondary market. This marks the tra...
Convexity
[edit] Examples
[edit] Value at risk
It is well known that value at risk is not, in general, a coherent risk measure as it does not respect the sub-additivity property.
Convexity - The rate of change in a position price for a given change in yield.
Convexity Risk - The risk of adverse changes in the price of a position due to changes in the yield.
Convexity
In a fixed income instrument, convexity is a measure of the way duration changes as interest rates change. An instrument is said to have positive convexity if its value increases by more than duration predicts when interest rates rise.
Convex Tax Schedule - A tax schedule in which the effective tax rate is greater at high levels of taxable income than at low levels of taxable income. Such a schedule results in progressive taxation.
Convexity
Measure of the curvature of the price-yield relationship of a fixed-income security. Any fixed-income security with known cash flows has positive convexity.
Cooling-Off Period ...
convexity: The graphical relationship between price and yield for a standard, noncallable bond in that they always move in opposite directions.
convexity
A measure of the sensitivity of duration to changes in yield levels. Convexity is a measure of the stability or instability of the measured duration over a range of yields.
Convexity
The sensitivity of the duration of a bond to changing interest rates. A high convexity means that the price of the bond in question will be more responsive to interest rate fluctuations.
Convex
Curved, as in the shape of the outside of a circle. Usually referring to the price/required yield relationship for option-free bonds.
CONVEX: A curve that is 'bowed-out' away the origin, like the side of an upside down mixing bowl. Technically speaking, the slope of a convex curve increases from left to right as the X-axis variable increases.
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Convexity
Property that a curve is above a straight line connecting two end points. If the curve falls below the straight line, it is called concave.
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Convexity - Is the second derivative of the price/yield curve for a bond.
The convexity of a bond calculated with cash flows that change with yields.
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See also convex function.
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Negative convexity A characteristic such that the price appreciation will be less than the price for a large change in of a given number of points.
Positive convexity
A property of option-free bonds that the price appreciation for a large downward change in interest rates will be greater (in absolute terms) than the price depreciation for the same downward change in interest rates.
Negative Convexity
When the shape of a bond's yield curve is concave. A bond's convexity is the rate of change of its duration, and is measured as the second derivative of price with respect to yield.
Most mortgage bonds are negatively convex.
Characterizes a convex tax schedule that results in a higher effective tax rate on higher income levels. Increases for some increases in income, but never decreases with an increase in income.
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Positive carry Related: Net financing cost Positive convexity A property of option-free bonds that the price appreciation for a large downward change in interest rates will be greater (in absolute terms) than the price depreciation for the ...
convex Bowed, as in the shape of a curve. Generally refers to the price/yield relationship for interest-bearing bonds. convexity A volatility measure for bonds used in conjunction with modified duration in...
" When kept in non-metallic vessels they take the shape of a convex meniscus. These liquids, when exposed to higher temperatures, some sooner than others, pass into vapours.
The holder of any debt is subject to interest rate risk and credit risk, inflationary risk, currency risk, duration risk, convexity risk, repayment of principal risk, streaming income risk, liquidity risk, default risk, maturity risk, ...
Beveridge curve [r]: A curve (convex when viewed from the origin) showing a relationship between vacancies and unemployment. [e]
BRIC [r]: Acronym for Brazil, Russia, India and China, as a group of large, low-income, high-growth-rate. [e] ...
It is the most convex opportunity I have ever seen. If you take the time to look at the numbers, you realize why they have had seven finance ministers in three years, five in the last year-and-a-half.
Using a combination of duration and convexity allows traders to hedge investments to minimize or offset the impact of changes in interest rates-a process known as immunization.
What Models Do We Need for Risk Management?
Viewpoints ...
i want tot know more about convex indifference curves
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This article is licensed under the GNU Free Documentation License. It uses material from the Wikipedia article "Consumer theory".
Engel curve: On a graph with good 1 on the horizontal axis and good 2 on the vertical axis, envision a convex indifference curve, and a diagonal budget constraint that meets it at one point.
When the annual wage growth rates and unemployment rates for Great Britain for each of the years from 1861 to 1957 were plotted as points on a two-dimensional graph, they rather neatly approximated a shallow hyperbola-shaped curve convex to the ...
Optimization approach to indexing An approach to indexing that seeks to optimize some objective, such as to maximize the portfolio yield, to maximize convexity, or to maximize expected total returns.
convexity Along with duration, a mathematical concept that measures the sensitivity of the market price of interest-bearing bonds to changes in interest rate levels.
If the curve falls above the straight line, it is called convex. Concentration accountA single centralized account into which funds collected at regional locations (lockboxes) are transferred.
 See also: Convexity, Expense, Values, Banks, Prepayment
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