Bond convexity closed-form formula (Blake and Orszag):
D = coupon payment per period
P = present value (price)
B = face value
i = discount rate per period (half-year)
a = fraction of a period remaining until next coupon payment
m = number of coupon dates until maturity
Look up Bond duration closed-form formula
Famous quotes containing the words bond and/or formula:
“Love cools, friendship falls off, brothers divide: in cities, mutinies; in countries, discord; in palaces, treason; and the bond cracked ‘twixt son and father.”
—William Shakespeare (1564–1616)
“So, if we must give a general formula applicable to all kinds of soul, we must describe it as the first actuality [entelechy] of a natural organized body.”
—Aristotle (384–323 B.C.)