The convexity of vega is the second-order measure of derivative price sensitivity, capturing the rate of change of vega with...

A curve that depicts the relationship between the annual yield on a coupon bond (coupon-bearing bond) and its price. Coupons...

Characteristically, constant maturity swaps have unnatural time lags because a counterparty pays/receives the swap rate only in one payment, rather...

A second-order sensitivity; it is a tool that measures of the sensitivity of a bond or portfolio’s duration to a...

The sensitivity of vega as a function of volatility to a change in volatility. It captures the deviation from a...

A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the...

An option has convexity because of the non-linear relationship between its value and the price of its underlying asset. The...

The effect of change in one variable pertaining to an option, (particularly the out-of-the-money options/ OTM options) where the output...

The difference between the actual option premium and the option's estimated fair value. This difference arises because option sellers are...

One of three types of adjustments that should be made to the forward value of the underlying variable in a...