|
- UID
- 223278
- 帖子
- 283
- 主题
- 138
- 注册时间
- 2011-7-11
- 最后登录
- 2016-4-21
|
Convexity is much more sensitive to falling rates. Not sure.but it seems like this was an increase in rates according to the question...and with that being said..wouldnt the tangent line be much more flat and closer to the approximate for duration at that level of increase.
Not sure if I articulated that correctly, but it seems there is less difference in regards to convexity when rates are increasing compared to when rates are falling due to price sensitivity. |
|
发表于 2011-7-11 20:08
|