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.

Return Value

The percentage change of the bond portfolio's value in absolute terms (i.e. 1 = 1 percent).

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.

DurationConvexity.BondPriceChange Method

Parameters

Return Value

Remarks

See Also