Wednesday, January 12, 2011

Convexity

Convexity = (V- + V+ - 2V0)/(2 * V0 * Δy2)

V-: bond value when the yield decreases by Δy
V+: bond value when the yield increases by Δy
V0: original bond value
Δy : absolute change of yield
Posted by Unknown at 3:50 PM
Labels: ,

0 comments:

Post a Comment

Subscribe to: Post Comments (Atom)