WebCab Bonds for Delphi (COM)

DurationConvexity.PercentagePriceChangeOfPortfolio Method 

Return the percentage change in a bond portfolio's value for a small parallel shift of all the interest rate curves which the bonds within the portfolio depend on.

public double PercentagePriceChangeOfPortfolio(
   double deltaYield,
   double[] duration,
   double[] valueOfBond
);

Parameters

deltaYield
The small parallel shift (in absolute terms) of the interest rate curve.
duration
An array where the first value is the duration of the first bond within the portfolio and the second term is the duration of the second bond within the portfolio and so on.
valueOfBond
An array where the first term corresponds to the value of the first bond within the portfolio and the second term corresponds to the weight of the second term within the portfolio and so on.

Remarks

The percentage change of the portfolio is returned in decimal format (i.e. 1 percent = 0.01).

See Also

DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace | Duration - Use in order to evaluate the duration of each bond within the portfolio.