Convexity: Convexity and DV01: The Curves That Shape the Market
Suppose the investor has a position in the bond with a par value of USD50 million, and the yield-to-maturity increases by 100 bps. Where $P$ is the bond price, $C$ is the annual coupon payment, $F$ is the face value, $y$ is the yield to maturity, and $n$ is the number of periods. From this …
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