New Formulas for Immunizing Durations

摘要: The concept of duration has long been established as a standard tool for measuring and managing the interest sensitivity fixed-income instrument or portfolio. One important use is in setting up an immunization strategy, such that risk attached to given future cash flow immunized against shift term structure by offsetting hedge position same duration. Earlier models literature developed duration-based strategies immunizing specific types yield curve shifts, example, additive fixed number basis points at every maturity. This article offers several new formulas greatly extend range allowable shifts. Three theorems develop techniques cover, most general case, portfolio instruments exposed any sum finite piecewise continuous functions. results previous are shown be special cases this formulation.