Bond immunization for additive interest rate shocks Article

cited authors

  • Barber, JR; Copper, ML

fiu authors

abstract

  • This paper explores bond immunization for additive term structure models. This class of term structures contains many models that are commonly used in the duration and immunization literature. We establish the necessary and sufficient conditions for immunization and prove the existence of a bond portfolio that satisfies the immunization condition. Based upon the immunization condition, we develop a general definition of duration that applies to any additive term structure model.

publication date

  • January 1, 1998

Digital Object Identifier (DOI)

start page

  • 77

end page

  • 84

volume

  • 22

issue

  • 2-3