Bond Duration And Convexity Calculator
Bond Duration And Convexity: a planned Super Calculator tool. Covers price (currency). Stub page while the tool and its worked example are prepared. Scope is.
Bond Duration And Convexity Calculator is a planned calculator in the finance section of Super Calculator, covering fixed income.
What this calculator will compute
Inputs: price (currency), coupon (%), yield (%), maturity (years), frequency and yield shock (basis points).
Outputs: Macaulay duration (years), modified duration, convexity, estimated price change (%) and actual price change (%).
Formula, recorded as scope and not yet verified against a primary source: Macaulay duration is the cash flow weighted average time to receipt; modified duration equals Macaulay divided by (1 + y/k). Price change is approximated by -modified duration times the yield change plus one half convexity times the yield change squared, and the convexity term matters for large moves.
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.