n Investment Analysts Journal - Investment basics XLI : duration and convexity

Volume 2000, Issue 51
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Number 51 - Part 5 * G Lwabona Investment Basics XLI: Duration and convexity * School of Management Studies, Faculty of Commerce, University of Cape Town, Private Bag, Rondebosch 7701, Republic of South Africa. Email:glwabona@commerce.uct.ac.za. 1. Introduction This is the second in a series of two articles dealing with measuring and managing the impact of interest rate changes on bond prices. Whereas the first article, which appeared in the previous issue, discussed bond price volatility; this article discusses the concepts of duration and convexity. 2. Duration The previous article identifies three key variables as determinants of bond price volatility, namely ..

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