Logical constant: Difference between revisions

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m minor fixes, mostly disambig links using AWB
 
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{{Unreferenced|date=December 2009}}
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[[Bond convexity]] [[closed-form formula]] (Blake and Orszag):
<math>Conv=-\frac{D}{P}\begin{Bmatrix}\frac{(m-1+a+1)(m-1+a+2)(1/(1+i))^{(m-1+a+2)}}{i}+\\2\frac{(m-1+a+2)(1/(1+i))^{(m-1+a+2)}-(1/(1+i))}{i^2}+\\2\frac{(1/(1+i))^{(m-1+a+2)}-(1/(1+i)}{i^3}\end{Bmatrix}+\frac{B}{P}\frac{(m-1+a)(m-1+a+1)}{(1+i)^{(m-1+a+2)}}</math>
 
<br>D = coupon payment per period
<br>P = present value (price)
<br>B = face value
<br>i = discount rate per period (half-year)
<br>a = fraction of a period remaining until next coupon payment
<br>m = number of coupon dates until maturity
 
Look up [[Bond duration closed-form formula]]
 
{{DEFAULTSORT:Bond Convexity Closed-Form Formula}}
[[Category:Fixed income analysis]]

Latest revision as of 00:11, 21 August 2014

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