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Lesson 9 Notes

Convexity measures how the duration of a bond portfolio changes as interest rates change, with positive convexity indicating the duration decreases as rates rise. Redington immunization is a portfolio management technique where the portfolio duration is matched to the bond's maturity to minimize the impact of interest rate changes.

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44 views1 page

Lesson 9 Notes

Convexity measures how the duration of a bond portfolio changes as interest rates change, with positive convexity indicating the duration decreases as rates rise. Redington immunization is a portfolio management technique where the portfolio duration is matched to the bond's maturity to minimize the impact of interest rate changes.

Uploaded by

Harrison Richards
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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FM Review Fall 2013

Lesson 9

Convexity

*Remember to differentiate in term of i but not v.

Redington Immunization

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