What does it mean when a bond exhibits negative convexity?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:02 AM

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What does it mean when a bond exhibits negative convexity?

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A bond exhibits negative convexity when its price changes in a way thats less favorable than a perfectly straight line relationship with interest rates Heres a breakdown Convexity in a Nutshell Imagine the relationship between a bonds price and its yield interest rate ...View the full answer

Introduction To Fixed Income Analytics

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