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Xerxes
The sensitivity of Convexity to a change in yield.
The “Convexity” of Modified Duration
The third derivative of a financial instrument’s value with respect to its yield.
Hedging so that Xerxes equals zero is one step beyond Convexity hedging, which is itself one step beyond matching durations of one’s investment and (short) hedge portfolio. In theory, such a hedge would require relatively little rebalancing.
Find financial terms
Yankee market The U.S. foreign market. The market in the U.S. for securities that non U.S . companies and governments issue. Example: Some shares of Nomura Securities trade in New York in the Yankee market. […]
Value date 1. In the Eurodeposit and FX markets, the delivery date for funds traded. For the spot market it would be the spot date, ordinarily two business days after the transaction. For the forward […]
An option implicit in another instrument. The commonest are: call options embedded in bonds, which allow the issuer to redeem the bond early; the options implicit in bonds with sinking funds; the embedded put provisions […]
