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mamuka12

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tT
发表于 2011-7-11 15:17 | 只看该作者

Furmula for % change in bond price

price, please, change, somebody
I couldn't locate the formula that calculate the % change in bond price given Effective Duration and Effecttive Convexity. Could somebody help please?

 

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. 请问这题怎么算， bond price change with effective duration and effective convexity

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wilslm

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2#
发表于 2011-7-11 15:17 | 只看该作者
(-D)(change in rates)+(C)(change in rates squared)

Can anyone confirm?

NO EXCUSES

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Rasec

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3#
发表于 2011-7-11 15:17 | 只看该作者
got it.

(-ED) Delta Y * 100 + (EC * (Delta Y) squared * 100)

Thanks



Edited 1 time(s). Last edit at Friday, June 4, 2010 at 10:16AM by kochunni69.

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DSquaredSlim

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4#
发表于 2011-7-11 15:17 | 只看该作者
So if ED was 2 and EC were 1 and the Delta Y were .1 it would be:

(-2 * (.1 * 100))

+

(1 * ((.1^2)*100)

= -20 + 1

= -19

?

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