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发表于 2013-8-8 09:02 | 只看该作者

Negative Convexity

Can treasury futures have negative convexity?

random_walker47

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发表于 2013-8-8 09:05 | 只看该作者

Could you restate the question? I don’t see what the issue is, if we have constant returns to scale, you know TFP….what is the problem? TFP has nothing to do with constant returns to scale…

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stalkey

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发表于 2013-8-8 09:04 | 只看该作者

1Big Studd Muffin - have studied both. Dont make tall statements without knowing facts.

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Dapper425

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发表于 2013-8-8 09:04 | 只看该作者

Pistol Pt - The link you have mentioned doesnt give any final resolution to using %TFP =0 in a Cobb Douglas Fn. Plz clearly put your views on TFP values incase of Constant Returns to Scale.

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bdavi77962

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发表于 2013-8-8 09:04 | 只看该作者

simplex, read the CFAI books, not Schweser kid cudi.

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parott

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发表于 2013-8-8 09:04 | 只看该作者

Coub Douglas (New Query)
Incase of Cobb Douglas when should you take %TFP=0? Schweser says %TFP=0 incase of Constant Returns to scale.

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tobeornottobe

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发表于 2013-8-8 09:04 | 只看该作者

yes futures could have negative convexity. futures have MTM effects as well as the CTD bond could change. in short it is possible for futures to have negative convexity whereas an individual bond has positive convexity if it’s a plain bullet non callable

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OmarAdnan