negative convexity การใช้

The discussion of the " negative convexity " and " option cost " of a bond is essentially a discussion of a single MBS feature ( rate-dependent cash flows ) measured in different ways.
With long-term interest rates falling as much as 170 basis points this year as measured by the benchmark 30-year U . S . Treasury bond, fund managers have had to worry about negative convexity, or the likelihood that their holdings would gain less in a continuing rally because they would be more apt to be redeemed early.
On the other hand, a bond " with " call features-i . e . where the issuer can redeem the bond early-is deemed to have " negative convexity " as rates approach the option strike, which is to say its duration will fall as rates fall, and hence its price will rise less quickly.