Derivatives on Volatility
With the introduction of volatility futures and variance swaps, many investors now consider volatility an asset class in itself. In …
convexity
Introduction (Yield Curve Dynamics, Convexity and Duration Review)
Active yield curve strategies are designed to capitalize on expectations regarding the level, slope, or shape (curvature) of yield curves. …
Module 36.6 LOS 36.k and 36.i: One-sided durations and convexity of option bonds
When bonds come with embedded options, one-sided durations are better at capturing interest rate sensitivity. One-sided duration only captures sensitivity …