notes4 149页 convexity return

JustasS

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

John10

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.

stockjaguar

注释之前就看到了，我想问的是为什么？为什么一定要换成一样的。

dvilayphet

因为duration是价格对利率的一阶导数，convexity是二阶倒数，在计算的时候要保证他们的scale是相同的，所以，一般都是将convexity乘以100.

Viceroy

不客气~