WebCab Bonds for COM v2.01

DurationConvexity.Convexity Method 

Evaluates the convexity of a bond.

public double Convexity(
   double yield,
   double[] coupons,
   DateTime evaluationDate,
   DateTime[] dateOfCoupons,
   double principleSum,
   DateTime maturityDate,
   string businessCalendarName
);

Parameters

yield
The continuously compounded yield of the bond portfolio expressed in decimal format (i.e. 1 percent = 0.01).
coupons
An array of doubles where the first term corresponds to the amount paid by the next coupon paid by the bond, the second term corresponds to the coupon after that and so on.
evaluationDate
The date when the convexity of the bond is evaluated.
dateOfCoupons
An array of dates where the first term corresponds to the date of the first coupon payment and the second term corresponds to the date of second coupon payment and so on.
principleSum
The principle sum paid at the maturity of the bond.
maturityDate
The date when the bond matures.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.

Return Value

The convexity of the bond considered.

See Also

DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace