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The Duratlon Concept
The Factors That Influence Duratlon
13 other sections not shown
00 STRIPS 30-year bond 30-year U.S. Treasury accrued interest average maturity bond index bond management bond portfolio Bond Price bond‘s bond’s duration bond’s effective duration calculated call date call option call price call provisions callable bond Capital Management Sciences cash call cash ﬂows change in yield Chapter convexity effect convexity factor corporate bonds coupon rate data from Exhibit duration and convexity Exhlblt ﬁnal maturity FNMA inﬂuence interest rates issuer long maturity market price market value market yield volatility maturity date modified modiﬁed DTM modiﬁed duration mortgage passthrough mortgage-backed securities negative convexity noncallable bond positive convexity prepayment rate present value prespeciﬁed price sensitivity price:yield curve put option putable bond refunding call sector sinking fund speciﬁc term to maturity total return U.S. Treasury bond U.S. Treasury GOV underlying versus yield change yield curve yield environment yield shifts yield spread yield to maturity zero coupon bond