Research : Convexity

Why do I want extra yield for holding a perpetual that is priced near par? I try to explain the rationale in this article, published in the November 2007 edition of Canadian Moneysaver.

Look for the research link!

6 Responses to “Research : Convexity”

  1. […] Readers will be familiar with my article on convexity, in which I estimate that a 15bp yield pickup is required to make holding a near-par instrument […]

  2. […] … the yield spread between the discount issues and the near-par ones is not quite the 15bp I have previously suggested as a rule of thumb, but it’s close enough for horse-shoes. Note that TD.PR.Q, despite its […]

  3. […] Note that “Curve Price” is a static calculation – it assumes that the yield curve will not change in the future. Convexity effects decrease the value of near-par-by-curve-price issues […]

  4. […] Note that “Curve Price” is a static calculation – it assumes that the yield curve will not change in the future. Convexity effects decrease the value of near-par-by-curve-price issues […]

  5. […] my article on convexity if you don’t have a clue what I’m blathering […]

  6. […] not only do we have the slope of the yields being in the wrong direction (see my articles on Convexity and Perpetual Hockey Sticks) but … doesn’t the spread seem a little … er … […]

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