Bond Convexity Explained: Why Duration Isn’t Enough
Duration is a tangent line; convexity is the curvature. Here is the formula, a worked 10-year Treasury example, and why MBS has negative convexity.
bond convexity
Duration is a tangent line; convexity is the curvature. Here is the formula, a worked 10-year Treasury example, and why MBS has negative convexity.