bondConvexity
Syntax
bondConvexity(start, maturity, issuePrice, coupon, frequency,
dayCountConvention, bondType, settlement, price, priceType,
[benchmark='Excel'])
Arguments
start is a scalar or vector of DATE type, indicating the bond’s value date.
maturity is a DATE scalar or vector indicating the maturity date.
issuePrice is a numeric scalar or vector of the same length as start indicating the bond’s issue price. For discount bonds, the actual issue price must be specified (typically less than 100); for other bonds, it is usually 100.
coupon is a numeric scalar or vector indicating the annual coupon rate. For example, 0.03 indicates a 3% annual coupon.
- 0/"Once": Bullet payment at maturity.
- 1/"Annual": Annual payments.
- 2/"Semiannual": Semi-annual payments.
- 4/"Quarterly": Quarterly payments.
- 12/"Monthly": Monthly payments.
- "Thirty360US": US (NASD) 30/360
- "ActualActual" (default): actual/actual
- "Actual360": actual/360
- "Actual365": actual/365
- "Thirty360EU": European 30/360
- "FixedRate": Fixed-rate bond, where interest is paid periodically based on the coupon rate.
- "Discount": Discount bond, where no interest is paid, and the bond is issued at a discount. FV at maturity = face value.
- "ZeroCoupon": Zero-coupon bond, where interest and face value are paid at maturity. FV at maturity = face value + interest.
settlement is a DATE scalar or vector indicating the settlement date.
price is a numeric scalar or vector indicating the bond's yield to maturity.
priceType is a STRING scalar or vector used to specify the type of the bond
price (price). Currently, only "YTM
" (Yield to Maturity) is
supported.
benchmark (optional) is a STRING scalar indicating the reference algorithm. Currently, only "Excel" (the algorithm used in Excel) is supported.
Details
bondConvexity
returns the bond convexity of a bond with a face value
of 100. Bond convexity is a measure of the non-linear relationship of bond prices to
changes in interest rates, and is defined as the second derivative of the price of
the bond with respect to interest rates.
Return value: Scalar or vector of type DOUBLE.
Examples
bondConvexity(start=2023.01.01, maturity=2030.12.31, issuePrice=100, coupon=0.05, frequency=1, dayCountConvention="ActualActual", bondType="FixedRate", settlement=2023.04.01, price=100.2143, priceType="CleanPrice")
// output: 49.06615108959532