1. For a detailed discussion, see Chapter 10 in Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, and Bruce D. Phelps, Quantitative Management of Bond Portfolios (Princeton, NJ: Princeton University Press, 2007).

2. Negative convexity causes duration to decline with falling rates. The term whipsaw refers to having to add duration after rates have just fallen and prices have gone up and to shed duration after the opposite movement.

3. Lev Dynkin, Jay Hyman, Vadim Konstantinovsky, and Ravi K. Mattu, “Constant Duration Mortgage Index,” Journal of Fixed Income, 10:1 (2000), pp. 79–96.