Positive convexity

A property of option-free bonds whereby the price appreciation for a large upward change in interest rates will be greater ( in absolute terms) than the price depreciation for the same downward change in interest rates. The New York Times Financial Glossary

Financial and business terms. 2012.

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  • positive convexity — A particular type of instability in the duration of an instrument. Positive convexity means that as yields rise, duration declines. Graphically, this is seen as a price/yield curve for which the price at very low and very high yields exceeds the… …   Financial and business terms

  • Convexity (finance) — In mathematical finance, convexity refers to non linearities in a financial model. In other words, if the price of an underlying variable changes, the price of an output does not change linearly, but depends on the second derivative (or, loosely… …   Wikipedia

  • positive duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has positive duration, its price increases in response to a decrease in prevailing market rates.… …   Financial and business terms

  • Positive Butterfly — A non parallel yield curve shift in which short and long term rates shift upward by a greater magnitude than medium term rates. This yield curve shift effectively humps the curve, adding to its curvature. A non parallel shift in the yield curve… …   Investment dictionary

  • Bond convexity — In finance, convexity is a measure of the sensitivity of the duration of a bond to changes in interest rates, the second derivative of the price of the bond with respect to interest rates (duration is the first derivative). In general, the higher …   Wikipedia

  • Non-positive curvature — In mathematics, spaces of non positive curvature occur in many contexts and form a generalization of hyperbolic geometry. In the category of Riemannian manifolds, one can consider the sectional curvature of the manifold and require that this… …   Wikipedia

  • Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Положительная выпуклость — свойство безопционных облигаций, состоящее в том, что рост цены в случае значительного повышения процентных ставок превышает падение цены при понижении процентных ставок на ту же величину. По английски: Positive convexity См. также: Стоимость… …   Финансовый словарь

  • Convex function — on an interval. A function (in black) is convex if and only i …   Wikipedia

  • Differential geometry of surfaces — Carl Friedrich Gauss in 1828 In mathematics, the differential geometry of surfaces deals with smooth surfaces with various additional structures, most often, a Riemannian metric. Surfaces have been extensively studied from various perspectives:… …   Wikipedia

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