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    • Duration and Convexity of Inverse Floating Rate Bonds 

      Morse, Joel N.; Nawalkha, Sanjay K.; Zhang, Jun; Lacey, Nelson J. (Journal of Research in Finance, 1999)
      Inverse floating rate bonds introduce unusual patterns of interest rate risk into a portfolio. To help assess and manage that risk, this paper presents duration and convexity measures for inverse floating rate bonds. Both ...