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Tagged with fixed-income convexity
3
questions with no upvoted or accepted answers
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answers
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Modified duration and convexity of a bond in R
A soft question:
Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with ...
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How to calculate the new price of a bond using duration rule and duration with convexity rule?
A bond with a 30 year maturity, par value of $1000 and is 8% p.a. coupon is selling at an yield to maturity of 8% p.a. The modified duration of the the bond at its yield is 11.26%, and its convexity ...
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Why Is Bond Time Value Risk Not Considered in Bond Immunization?
I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond ...
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