WebCab Bonds for Delphi (COM)

DurationConvexity.BondPriceChange Method 

Estimates the percentage change of the bond portfolio's value for a given (absolute) change of the yield.

public double BondPriceChange(
   double duration,
   double convexity,
   double yieldChange
);

Parameters

duration
The duration of the bond portfolio.
convexity
The convexity of the bond portfolio.
yieldChange
The change (in absolute terms) in the yield of the bond portfolio.

Remarks

This approach using the duration and convexity to estimate the change of a bond portfolios value to changes of the yield is more accurate than duration only approach.

See Also

DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace | Convexity | Duration