negative-convexity
-
P1.T4.910. Barbells and bullets (Tuckman Ch.4)
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...- Nicole Seaman
- Thread
- bullet-investment convexity effective-duration fixed-income-security negative-convexity
- Replies: 2
- Forum: FRM® Practice Questions
-
S
Negative convexity
Hello, Do IOs ever have positive convexity? I have seen the P/Y graph for POs, but really cannot find one for IOs. POs have pos convexity at higher yields and neg convex at low yields but I am not sure at all what the P/Y graph for an IO looks like. Also, this may be a very dumb question, but...- shanlane
- Thread
- io-strips negative-convexity
- Replies: 6
- Forum: P2.T5. Market Risk (25%)