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- W3021219828 abstract "Convexity is a pervasive factor in analysis of bonds and their derivatives. Recently, convexity has become important for the valuation of nongeneric swaps and general floating-rate notes. Finally, convexity provides the explanation to why yield curves are often humped with long forward rates falling. The analogous definition for convexity is the value-average “squared time” to payments. This is easily seen using continuous compounding and a zero-coupon bond. One of the reasons that convexity is important is a mathematical fact known as “Jensen's inequality.” Another way of understanding the inequality more generally is through a second-order Taylor series approximation. More general interest-rate swaps have floating legs that can be viewed as general floating-rate notes. The tricky part of valuing such swaps then boils down to valuing the general floating-rate note and this is more difficult, as it need not be valued at par at reset dates." @default.
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- W3021219828 date "1998-01-01" @default.
- W3021219828 modified "2023-09-26" @default.
- W3021219828 title "Convexity" @default.
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- W3021219828 doi "https://doi.org/10.1016/b978-075064012-1.50024-8" @default.
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