Bond convexity is a measure of the relationship between a bond’s price and interest rates. It is used to assess the impact that a rise or fall in interest rates can have on a bond’s price – which ...

Constant maturity swap (CMS) convexity adjustments are driven by the covariance between the underlying swap rate, its associated annuity and the discount bond of the payment delay. This implicitly ...

We have been convinced through our research that the purpose of risk management is to use all tools available in the markets to create more robust portfolios that can survive major shocks. In a recent ...

NEW YORK (Reuters) -The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products called interest rate swaps by mortgage portfolio managers ...