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1
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1answer
Let $y_0$ be the forward bond yield observed today for a forward contract with maturity $T$, $y_T$ be the bond yield at time $T$, $B_T$ be the price of the bond at time $T$ and let $\sigma_y$ be the v …
asked Aug 16 '16 by Permian
1
vote
1answer
Convexity Spread is defined by Varswap - ATM IV. How does this work?? Also why do we care about SPX Convexity Ratio (= Varswap/ATM IV)? …
asked Jun 6 '18 by Permian
1
vote
1answer
Quote Hedging with variance is not comparable to puts Due to the lack of convexity of a variance swap hedge, we believe it is best to compare long variance hedges to hedging with futures … rather than hedging with puts. Although variance hedges might be cheaper than put hedges, the lack of convexity for long volatility makes this an unfair comparison, in our view. End Quote Source …
asked Feb 19 '17 by Permian
5
votes
1answer
I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio. I can easily understand how the parallel line represents duration but I cannot see what … the curve of the convexity would look like. My guess is that this curve would start very high and then decrease to zero. If so this would explain why a barbell portfolio has a higher convexity than a …
asked Jul 23 '16 by Permian
1
vote
2answers
What the reasoning for why bond convexity increases with maturity. Heuristic explanations are somewhat better as I would like a fundamental understanding. Also what causes a more convex bond to be …
asked Apr 28 '18 by Permian