Finance:Yield elasticity of bond value
From HandWiki
Short description: Function of the Bond Market
The yield elasticity of bond value is the elasticity of the market value of a bond with respect to its yield—the percentage change in bond value divided by its causative percent change in the yield to maturity of the bond. Equivalently, it is the derivative of value with respect to yield times the (interest rate/value). This is equal to the Macaulay duration times the discount rate, or the modified duration times the interest rate.[1][2]
References
- ↑ Osborne, Michael J. (2012). "A Real Accurate Formula for the Yield Elasticity of Bond Price" (in en). SSRN Electronic Journal. doi:10.2139/ssrn.2124558. ISSN 1556-5068. http://www.ssrn.com/abstract=2124558.
- ↑ Cvitanic, Jaksa; Zapatero, Fernando (2004-02-27) (in en). Introduction to the Economics and Mathematics of Financial Markets. MIT Press. pp. 345-346. ISBN 978-0-262-03320-6. https://www.google.com/books/edition/Introduction_to_the_Economics_and_Mathem/jfVoryb5d0MC?hl=en&gbpv=1&dq=bond+%22yield+elasticity%22&pg=PA345&printsec=frontcover.
 |  |
