Bond convexity given price
In R2017b, the specification of optional input arguments has changed. While the
previous ordered inputs syntax is still supported, it may no longer be supported in a
future release. Use the optional name-value pair inputs: Period
,
Basis
, EndMonthRule
,
IssueDate
,FirstCouponDate
,
LastCouponDate
,
StartDate
,Face
,
CompoundingFrequency
, DiscountBasis
, and
LastCouponInterest
.
[
computes the convexity of YearConvexity
,PerConvexity
] = bndconvp(Price
,CouponRate
,Settle
,Maturity
)NUMBONDS
fixed income securities given
a clean price for each bond. The clean price of a bond excludes any interest that
has accrued since issue or the most recent coupon payment.
bndconvp
determines the convexity for a bond whether the first
or last coupon periods in the coupon structure are short or long (that is, whether
the coupon structure is synchronized to maturity). bndconvp
also
determines the convexity of a zero coupon bond. Convexity is
a measure of the rate of change in duration; measured in time. The greater the rate
of change, the more the duration changes as yield changes.
[
adds optional name-value pair arguments. YearConvexity
,PerConvexity
] = bndconvp(___,Name,Value
)
[1] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.
[2] Mayle, J. "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures." SIA, Vol 2, Jan 1994.
[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.