fixed-income-security

Learning objectives: Explain the process of calculating the effective duration and convexity of a portfolio of fixed income securities. Explain the impact of negative convexity on the hedging of fixed income securities. Construct a barbell portfolio to match the cost and duration of a given...

Learning objectives: Define, compute, and interpret the effective duration of a fixed income security given a change in yield and the resulting change in price. Compare and contrast DV01 and effective duration as measures of price sensitivity. Define, compute, and interpret the convexity of a...

AIMs: Discuss the components of a U.S. Treasury coupon bond, and compare and contrast the structure to Treasury STRIPS, including the difference between P-STRIPS and C-STRIPS. Compute the price of a fixed income security with certain cash-flows and compare its value to fixed-income securities...