Practical Yield, Price, Duration and Convexity Approximations

Practical techniques for approximating yield given the price and price given the yield are described. Duration and convexity estimations given prices and yields at three observation points are presented. Such approximations are useful when computing prices and yields from their values at nearby points and generating additional data for scenario analysis

MoreLess

Year of publication:	2012
Authors:	Chertok, Daniel L.
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zinsstruktur \| Yield curve \| Dauer \| Duration

Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 7, 2012 erstellt
Other identifiers:	10.2139/ssrn.2172571 [DOI]
Classification:	C41 - Duration Analysis ; C51 - Model Construction and Estimation ; C63 - Computational Techniques ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013098243