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Bond convexity closed-form formula
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Bond convexity closed-form formula : ウィキペディア英語版
Bond convexity closed-form formula

Bond convexity closed-form formula (Blake and Orszag):

Conv=-\frac\begin\frac+\\2\frac+\\2\frac\end+\frac\frac{(1+i)^{(m-1+a+2)}}
D = coupon payment per period
P = present value (price)
B = face value
i = discount rate per period (half-year)
a = fraction of a period remaining until next coupon payment
m = number of coupon dates until maturity
Look up Bond duration closed-form formula


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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