Chapter 8 Forward Curves, Duration and Convexity

Chapters in this book

1. Frontmatter I
2. Advance Praise for Random Walks in Fixed Income and Foreign Exchange V
3. Foreword VII
4. Contents IX
5. Preface XIII
6. Chapter 1 What Really is the Cross-Currency Basis? 1
7. Chapter 2 XVA and the Cross-Currency Basis 21
8. Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups 40
9. Chapter 4 FX Hedging of Fixed Income – What is the Best Way? 62
10. Chapter 5 Introducing the Conversion Factor 81
11. Chapter 6 An Empirical Method of Calculating the Term Premium 96
12. Chapter 7 An Update of the Term Premium Calculation 116
13. Chapter 8 Forward Curves, Duration and Convexity 122
14. Chapter 9 Implied vs Realised Convexity 161
15. List of Figures 169
16. List of Tables 173
17. About the Authors 175
18. References 177
19. Index 179