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凸性 [tū xìng]
[数] convexity
- 凸性衡量债券久期对利率变动的敏感度。
Convexity measures how sensitive a bond’s duration is to a change in interest rates. - 凸性避险往往会越滚越大,导致公债收益率加速上扬.
Convexity hedging often feeds on itself, causing Treasury yields to rise even faster. - 随着为对冲负凸性（提前还贷风险）而购买美国国债的抵押贷款债券投资者抛售抵押贷款债券，抵押贷款利率上升的趋势会进一步加剧。
A rising mortgage rate trend would be exacerbated as mortgage bond investors who bought Treasury bonds to hedge against negative convexity (pre-payment risk) dumped them instead.
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