
I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond portfolio price with respect to the short rate. I wonder whether we should also look at the time value increment of the bond price, which is the time partial derivative of the bond price, just as the theta in option price. For option Greeks, Theta, Delta and Gamma are related through the valuation or in the simple setting the BlackScholes equation. However, there does not seem to be such a relation in place for bond. Or am I mistaken? 




Please review the phorum guidelines. You posted this in two places which is punishable by blending.
SIP, this one is for the trash? 



@Tradenator:
Sorry for my offense. How do I delete this post under this directory? I do not see a delete button. 


