Bond immunization for additive interest rate shocks

Joel Barber and Mark Copper

Journal of Economics and Finance, 1998, vol. 22, issue 2, 77-84

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 additives term structure model. Copyright Springer 1998

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:22:y:1998:i:2:p:77-84

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DOI: 10.1007/BF02771478

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