Financial and business terms. 2012.
adjusted duration — See option adjusted duration. American Banker Glossary … Financial and business terms
Option-adjusted spread — (OAS) is the flat spread which has to be added to the treasury yield curve in a pricing model (that accounts for embedded options) to discount a security payment to match its market price. OAS is hence model dependent. This concept can be applied … Wikipedia
effective duration — (1) One of several methods of expressing duration. More accurate than Macaulay duration or modified duration. See convexity, duration, Macaulay duration, and modified duration (2) A synonym for empirical duration. See empirical duration. (3) A… … Financial and business terms
partial duration — A duration measure calculated by changing one variable while all other variable are held constant. The most common example Is key rate duration where all variables are held constant except the yield for a specific maturity point on the yield… … Financial and business terms
Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond … Wikipedia
Fixed income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio … Wikipedia
Fixed-income attribution — refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio … Wikipedia
Bond (finance) — In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest (the coupon) to use and/or to repay the principal at a later date, termed maturity.… … Wikipedia
Credit spread (bond) — Finance Financial markets Bond market … Wikipedia
Convertible bond — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond … Wikipedia
