DurationConvexity.PercentagePriceChangeWhenPortfolioDurationKnown Method

Evaluates the percentage price change in a bond portfolio's value when the (annual) interest rates (expressed in decimal format) experience a small parallel shift.

public double PercentagePriceChangeWhenPortfolioDurationKnown(
   double duration,
   double annualYield,
   double deltaYield
);

Parameters

duration: The duration of the bond portfolio.
annualYield: The annual yield of the bond portfolio expressed in decimal format (i.e. 1 percent = 0.01).
deltaYield: The small parallel shift in the bond portfolios yield, expressed in decimal format (i.e. 1 percent = 0.01).

Return Value

The percentage change of the price of bond in decimal format (i.e. 1 percent = 0.01).

DurationConvexity.PercentagePriceChangeWhenPortfolioDurationKnown Method

Parameters

Return Value

See Also