Convexity - Revision history

imported>Doug Williamson: Improve calculation.

2016-01-15T19:18:12Z

Improve calculation.

← Older revision		Revision as of 19:18, 15 January 2016
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	Convexity is normally calculated as:		Convexity is normally calculated as:

	Sum ( PV x t x ( t + 1 ) ) / Sum (PV).		Sum(PV x t x (t + 1) ) / Sum(PV).

imported>Doug Williamson: Standardise appearance of page

2015-03-21T12:11:11Z

Standardise appearance of page

← Older revision		Revision as of 12:11, 21 March 2015
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	Convexity is normally calculated as:		Convexity is normally calculated as:

	~~'''~~Sum [PV x t x (t+1)]/Sum(PV)~~'''~~.		Sum ( PV x t x ( t + 1 ) ) / Sum (PV).


	Where:		Where:

	PV = Present Value of individual cash flows		PV = Present Value of individual cash flows.

	t = timing of cash flows		t = timing of cash flows.


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	Obviously this can lead to confusion, so it is important to clarify whether convexity or modified convexity is intended.		Obviously this can lead to confusion, so it is important to clarify whether convexity or modified convexity is intended.


	== See also ==		== See also ==

imported>Doug Williamson: Link with Effective convexity page.

2014-09-27T07:08:54Z

Link with Effective convexity page.

← Older revision		Revision as of 07:08, 27 September 2014
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	== See also ==		== See also ==
	* [[Duration]]		* [[Duration]]
			* [[Effective convexity]]
	* [[Modified convexity]]		* [[Modified convexity]]
	* [[Modified duration]]		* [[Modified duration]]

	[[Category:~~Interest_Rate_Risk~~]]		[[Category:Manage_risks]]
	[[Category:~~Managing_Risk~~]]		[[Category:Risk_frameworks]]

imported>Doug Williamson: Add embedded link to Duration page.

2014-07-29T10:26:53Z

Add embedded link to Duration page.

← Older revision		Revision as of 10:26, 29 July 2014
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	Strictly defined, convexity is the rate of change of duration, and [[modified convexity]] is the rate of change of modified duration, for small changes in yield from the given starting yield.		Strictly defined, convexity is the rate of change of [[duration]], and [[modified convexity]] is the rate of change of modified duration, for small changes in yield from the given starting yield.

imported>Doug Williamson: Link with Instrument and Portfolio pages.

2014-07-29T09:02:34Z

Link with Instrument and Portfolio pages.

← Older revision		Revision as of 09:02, 29 July 2014
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	Convexity measures the curvature of the profile representing the relationship between an ~~instrument’s~~ or a portfolio's yield and its value.		Convexity measures the curvature of the profile representing the relationship between an [[instrument]]’s or a [[portfolio]]'s yield and its value.

imported>Doug Williamson: Simplify and align with ACT glossary for clarity.

2014-07-29T08:55:44Z

Simplify and align with ACT glossary for clarity.

← Older revision		Revision as of 08:55, 29 July 2014
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	~~== Broad definition~~ of ~~convexity ==~~		Convexity measures the curvature of the profile representing the relationship between an instrument’s or a portfolio's yield and its value.

	~~Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value.~~

	~~Duration and Modified duration can be used as the basis for straight line estimates of the rate of change of price/present value.~~ Convexity is ~~an estimate of the rate of change of duration.~~		Convexity is normally calculated as:

	~~This is often visualised as the degree of~~ '~~curviness~~' ~~of the line representing value versus yield~~.		'''Sum [PV x t x (t+1)]/Sum(PV)'''.

	~~Convexity is calculated as:~~

	~~'''Sum [~~PV x t ~~x (t+1)]/Sum(PV)'''.~~		Where:

			PV = Present Value of individual cash flows

			t = timing of cash flows

	~~== Stricter definition of convexity ==~~

	~~More strictly~~ defined, convexity is the rate of change of duration, and modified convexity is the rate of change of modified duration, for small changes in yield from the given starting yield.		Strictly defined, convexity is the rate of change of duration, and [[modified convexity]] is the rate of change of modified duration, for small changes in yield from the given starting yield.

	~~== Looser definition of convexity ==~~

	More loosely, the terms ''Convexity'' and ''Modified convexity'' are ~~often~~ used interchangeably.		More loosely, the terms ''Convexity'' and ''Modified convexity'' are sometimes used interchangeably.

	Obviously this can lead to ~~potential~~ confusion, so it is important to clarify whether convexity or modified convexity is intended ~~in any particular context~~.		Obviously this can lead to confusion, so it is important to clarify whether convexity or modified convexity is intended.

	== See also ==		== See also ==
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	* [[Modified convexity]]		* [[Modified convexity]]
	* [[Modified duration]]		* [[Modified duration]]

			[[Category:Interest_Rate_Risk]]
			[[Category:Managing_Risk]]

imported>Doug Williamson: Added Level 2 headlines, amended wording & amended spacing.

2013-08-05T08:36:46Z

Added Level 2 headlines, amended wording & amended spacing.

@@ Line 1: / Line 1: @@
-#Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value.  Duration and Modified duration can be used as the basis for straight line estimates of the rate of change of price/present value.  Convexity is an estimate of the rate of change of duration.  This is often visualised as the degree of 'curviness' of the line representing value versus yield.  Convexity is calculated as: '''Sum [PV x t x (t+1)]/Sum(PV)'''.
+== Broad definition of convexity ==
-#More strictly defined, convexity is the rate of change of duration, and modified convexity is the rate of change of modified duration, for small changes in yield from the given starting yield.
-#More loosely, the terms ''Convexity'' and ''Modified convexity'' are often used interchangeably.  Obviously this can lead to potential confusion, so it is important to clarify whether convexity or modified convexity is intended in any particular context.
+Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value.
 == See also ==
 * [[Duration]]
 * [[Modified convexity]]
 * [[Modified duration]]

imported>Doug Williamson: Spacing and indentation

2013-08-04T22:10:50Z

Spacing and indentation

← Older revision		Revision as of 22:10, 4 August 2013
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	1. Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value.		#Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value. Duration and Modified duration can be used as the basis for straight line estimates of the rate of change of price/present value. Convexity is an estimate of the rate of change of duration. This is often visualised as the degree of 'curviness' of the line representing value versus yield. Convexity is calculated as: '''Sum [PV x t x (t+1)]/Sum(PV)'''.
	Duration and Modified duration can be used as the basis for straight line estimates of the rate of change of price/present value. Convexity is an estimate of the rate of change of duration. This is often visualised as the degree of 'curviness' of the line representing value versus yield.		#More strictly defined, convexity is the rate of change of duration, and modified convexity is the rate of change of modified duration, for small changes in yield from the given starting yield.
	Convexity is calculated as:		#More loosely, the terms ''Convexity'' and ''Modified convexity'' are often used interchangeably. Obviously this can lead to potential confusion, so it is important to clarify whether convexity or modified convexity is intended in any particular context.

	'''Sum [PV x t x (t+1)]/Sum(PV)'''

	2. More strictly defined, convexity is the rate of change of duration, and modified convexity is the rate of change of modified duration, for small changes in yield from the given starting yield.

	3. More loosely, the terms ''Convexity'' and ''Modified convexity'' are often used interchangeably. Obviously this can lead to potential confusion, so it is important to clarify whether convexity or modified convexity is intended in any particular context.

	== See also ==		== See also ==
	* [[Duration]]		* [[Duration]]
	* [[Modified convexity]]		* [[Modified convexity]]
	* [[Modified duration]]		* [[Modified duration]]

imported>Administrator: CSV import

2012-10-23T14:19:07Z

CSV import

New page

1. Broadly, convexity measures the curvature of the line representing the relationship between an instrument’s yield and its value.
Duration and Modified duration can be used as the basis for straight line estimates of the rate of change of price/present value. Convexity is an estimate of the rate of change of duration. This is often visualised as the degree of 'curviness' of the line representing value versus yield.
Convexity is calculated as:

'''Sum [PV x t x (t+1)]/Sum(PV)'''

2. More strictly defined, convexity is the rate of change of duration, and modified convexity is the rate of change of modified duration, for small changes in yield from the given starting yield.

3. More loosely, the terms ''Convexity'' and ''Modified convexity'' are often used interchangeably. Obviously this can lead to potential confusion, so it is important to clarify whether convexity or modified convexity is intended in any particular context.

== See also ==
* [[Duration]]
* [[Modified convexity]]
* [[Modified duration]]