July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Chapter 9: Bond Portfolios
I first saw the relationship linking Macaulay duration, convexity, cash flow dispersion, and the yield to maturity (i.e., equation 9.7) in Olivier de la Grandville, Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run (MIT Press, 2001).
The idea of using the basis-point-value-weighted average of the yields to maturity as a good approximation for the portfolio cash flow yield is from Kenneth D. Garbade, Fixed Income Analytics (MIT Press, 1996). The same point is made in a thorough collection of articles on fixed-income management, Quantitative Management of Bond Portfolios (Princeton University Press, 2007), by Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, and Bruce Phelps.
I do not ...
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