Returns the convexity for a security.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Convexity(
	DateTime settlement,
	DateTime maturity,
	double coupon,
	double yield,
	Bond..::.Frequency frequency,
	DayCountBasis basis
)
Visual Basic (Declaration)
Public Shared Function Convexity ( _
	settlement As DateTime, _
	maturity As DateTime, _
	coupon As Double, _
	yield As Double, _
	frequency As Bond..::.Frequency, _
	basis As DayCountBasis _
) As Double
Visual C++
public:
static double Convexity(
	DateTime settlement, 
	DateTime maturity, 
	double coupon, 
	double yield, 
	Bond..::.Frequency frequency, 
	DayCountBasis^ basis
)

Parameters

settlement
Type: System..::.DateTime
The DateTime settlement date of the security.
maturity
Type: System..::.DateTime
The DateTime maturity date of the security.
coupon
Type: System..::.Double
A double which specifies the security's annual coupon rate.
yield
Type: System..::.Double
A double which specifies the security's annual yield.
frequency
Type: Imsl.Finance..::.Bond..::.Frequency
A int which specifies the number of coupon payments per year (1 for annual, 2 for semiannual, 4 for quarterly).
basis
Type: Imsl.Finance..::.DayCountBasis
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}}.

See Also