Hi all, I'm reading through the old Salomon Brothers Yield Curve paper and I am trying to reconcile these two statements: 1. "In particular long-term zeros exhibit very high convexity" 2. "There are convexity differences between bonds that have the same duration. A barbell position (w...

Hi all, old post so not sure if you're still following the thread. This was the only thread I could find on DTS vs spread duration. Bearish, do you think you could give a basic example with numbers from a hypothetical portfolio on the difference in how spread duration and DTS would be calculated? Is...

<t>Awesome, thank you. I've been experimenting with the delta equivalent stock method. For longer periods I've been tinkering with potential position value and probability of being ITM as a scaling factor, combined with delta and gamma as well just to see how the results vary. I know so many people ...

<t>Forgive me if this ends up having an obvious answer. I was looking at the behavior of some ATM options and was wondering what steps are commonly undertaken to help project the overall portfolio variance of a portfolio that is mixed between options and equities? Would you simply treat the option a...