例题 Impact on return
为什么convexity要从0.5 变成50？ 怎么样match the scale of duration? 遇到所有的convexity都要*100 么？为什么作者: John10 时间: 2013-8-12 14:47
P149中间的Professor's note中有注明：Make sure the value of convexity is scaled correctly. Convexity should be on the same order of magnitude as duration squared. For example, if you are given that duration is 6.0 and convexity is 0.562, duration squared is 36.0 and the correctly scaled convexity is 56.2.作者: stockjaguar 时间: 2013-8-12 14:48
