标题: Furmula for % change in bond price [打印本页]

---

作者: mamuka12    时间: 2011-7-11 15:17     标题: Furmula for % change in bond price

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

---

作者: wilslm    时间: 2011-7-11 15:17

(-D)(change in rates)+(C)(change in rates squared)

Can anyone confirm?

NO EXCUSES

---

作者: Rasec    时间: 2011-7-11 15:17

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.

---

作者: DSquaredSlim    时间: 2011-7-11 15:17

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

?

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2