Generally, it is the risk that arises from changes in interest rate which impact the value of interest-bearing securities/ investments...

A graph that plots the relationship between yield to maturity (YTM) and maturity for a set of similar bonds (or...

The fixed swap rate that is associated with a forward settlement. If the yield curve is upward sloping, this rate...

A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...

A duration measure that is derived from multiplying a bond's modified duration by the bond price. It is the price change for a 100 basis points change in yield....

A convexity measure that captures the the approximate change in a bond's dollar price that is not explained by duration. Dollar convexity= convexity ×...