论文信息 - A Quick Approximation for Modified Bond Duration and Convexity

A Quick Approximation for Modified Bond Duration and Convexity

A bond pricing formula introduced by Arnold [2014] and Arnold and Earl [2014] is used as the basis for calculating bond duration and convexity. By calculating a present value annuity using the coupon rate as the discount rate, approximations for bond duration and convexity emerge that are much less calculation intensive and are reasonably accurate.

Tom Arnold | C. Marshall | J. Earl

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