April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Bond convexity
Convexity is the sensitivity measure of the duration of a bond to yield changes. Think of convexity as the second derivative of the relationship between the price and yield:
Bond traders use convexity as a risk-management tool to measure the amount of market risk in their portfolio. Higher-convexity portfolios are less affected by interest-rate volatilities than lower-convexity portfolios, given the same bond duration and yield. As such, higher-convexity bonds are more expensive than lower-convexity ones, everything else being equal.
The implementation of a bond convexity is given as follows:
In [ ]: def bond_convexity(price, ...
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