Bond convexity closed-form formula
From Wikipedia, the free encyclopedia
| This article does not cite any references or sources. Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed. (December 2009) |
| This article is an orphan, as few or no other articles link to it. Please introduce links to this page from related articles; suggestions may be available. (December 2009) |
Bond convexity closed-form formula (Blake and Orszag):

D = coupon payment per period
P = present value (price)
B = face value
i = discount rate per period (half-year)
a = fraction of a period remaining until next coupon payment
m = number of coupon dates until maturity