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)
“My formula for greatness in human beings is amor fati: that one wants to change nothing, neither forwards, nor backwards, nor in all eternity. Not merely to endure necessity, still less to hide it—all idealism is mendacity in the face of necessity—but rather to love it.”
—Friedrich Nietzsche (1844–1900)