Bond.Convexity Method

BondConvexity Method

Returns the convexity for a security.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

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

Public Shared Function Convexity ( 
	settlement As DateTime,
	maturity As DateTime,
	coupon As Double,
	yield As Double,
	frequency As BondFrequency,
	basis As DayCountBasis
) As Double

public:
static double Convexity(
	DateTime settlement, 
	DateTime maturity, 
	double coupon, 
	double yield, 
	BondFrequency frequency, 
	DayCountBasis^ basis
)

static member Convexity : 
        settlement : DateTime * 
        maturity : DateTime * 
        coupon : float * 
        yield : float * 
        frequency : BondFrequency * 
        basis : DayCountBasis -> float

Parameters

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

Return Value

Type: Double
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 $q = 1 + {{\it yield} \over {\it frequency}}$ .

Reference

Bond Class

Imsl.Finance Namespace

Other Resources

Example