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- W1477888769 abstract "This chapter discusses the mathematical development of the equations for duration and convexity, and it uses the Taylor's Series expansion to highlight the equation for estimation of the predicted bond price, given a change in yield, using duration and convexity. The chapter describes the ideas of negative duration and negative convexity and their real-world analogs. There is a brief discussion on negative duration. Mortgage-backed securities have similar features. High-coupon mortgage-backed securities have much higher redemptions during periods of low interest rates, as the original borrowers on the mortgages in the high coupon mortgage pools refinance their mortgages. Higher mortgage borrowing rates for these mortgage-backed securities mean somewhat lower redemptions and therefore somewhat higher prices. They can have a negative duration for at least part of their price/yield curve." @default.
- W1477888769 created "2016-06-24" @default.
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- W1477888769 date "2003-01-01" @default.
- W1477888769 modified "2023-10-17" @default.
- W1477888769 title "The mathematical development of duration, convexity, and the equation to predict new bond prices, given yield changes" @default.
- W1477888769 doi "https://doi.org/10.1016/b978-012781721-7.50017-1" @default.
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