Bond convexity given yield
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
] = bndconvy(Yield
,CouponRate
,Settle
,Maturity
)NUMBONDS
fixed income securities
given a clean price for each bond.
bndconvy
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).
bndconvy
also determines the convexity of a zero coupon
bond.
[
adds optional name-value pair arguments. YearConvexity
,PerConvexity
] = bndconvy(___,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.