Bond.Convexity Method

Returns the convexity for a security.

public static double Convexity(
   DateTime settlement,
   DateTime maturity,
   double coupon,
   double yield,
   Frequency frequency,
   DayCountBasis basis
);

Parameters

settlement: The DateTime settlement date of the security.
maturity: The DateTime maturity date of the security.
coupon: A double which specifies the security's annual coupon rate.
yield: A double which specifies the security's annual yield.
frequency: A int which specifies the number of coupon payments per year (1 for annual, 2 for semiannual, 4 for quarterly).
basis: A DayCountBasis object which contains the type of day count basis to use.

Return Value

A double which specifies the convexity for a security.

Remarks

Convexity is the sensitivity of the duration of a security to changes in yield. It is computed using the following:

${{{1 \over {\left( {q \times {\it frequency}} \right)^2 }}\left\{ {\sum\limits_{t = 1}^n {t\left( {t + 1} \right)} \left( {{{\it coupon} \over {\it frequency}}} \right)q^{ - t} + n\left( {n + 1} \right)q^{ - n} } \right\}} \over {\left( {\sum\limits_{t = 1}^n {\left( {{{\it coupon} \over {\it frequency}}} \right)q^{ - t} } + q^{ - n} } \right)}}$

where n is calculated from Coupnum, and $q = 1 + {{\it yield} \over {\it frequency}}$ .

Bond.Convexity Method

Parameters

Return Value

Remarks

See Also