Description Usage Arguments Details Value
Calculates the convexity of a bond.
This function is normally used in combination with total_return() to compute bond total returns.
1 | convexity(yields, maturity, format_out = "xts")
|
yields |
a series of yields |
maturity |
constant bond maturity in years |
format_out |
xts or tibble |
This function is normally used in combination with total_return() to compute bond total returns.
The convexity is the interest rate sensitivity of the modified duration.
convexity = C_1 - C_2
where
C_1 = 2/(y_t^2) * (1-z_t^(-2M))
C_2 = 2M/y_t * z_t^(-2M-1)
z_t = 1 + y_t/2
M is the maturity in years (e.g. 10), t_y is the yield at time t.
The convexity or a series of convexities of a bond with the given yield and maturity
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