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Yield Decomposition Model

In: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Author

Listed:
  • YI TANG

    (Goldman, Sachs & Co., Inc., USA)

  • BIN LI

    (Westport Financial, LLC, USA)

Abstract
The following sections are included:Volatility Adjusted DurationDollar Value of ConvexityExpected Total Rate of ReturnMeasurement of Risk PremiumExpectation CurveExpected FED Funds RateYield Decomposition AnalysisDiscussion

Suggested Citation

  • Yi Tang & Bin Li, 2007. "Yield Decomposition Model," World Scientific Book Chapters, in: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market, chapter 13, pages 440-449, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706652_0013
    as

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