| WebCab Bonds for COM v2.01 | |
DurationConvexity.PercentagePriceChangeWithDifferingCompounded Method
Evaluates the percentage change in a bond portfolios value when interest rates experience a small parallel shift.
public
double PercentagePriceChangeWithDifferingCompounded(
double duration,
double yield,
int periodsCompoundedOver,
double deltaYield);
Parameters
- duration
- The duration of the bond portfolio.
- yield
- The yield of the bond portfolio compounded 'periodsCompoundedOver' time a year.
- periodsCompoundedOver
- The number of time periods per annum which the yield is compounded over.
- 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).
Remarks
Note, that here the yield
is quoted with a compounding frequency of periodsCompoundedOver times a year.
See Also
DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace