RT Journal Article
SR Electronic
T1 A Quick Approximation for Modified Bond Duration and Convexity
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 53
OP 56
DO 10.3905/jwm.2015.18.3.053
VO 18
IS 3
A1 Tom Arnold
A1 John H. Earl, Jr.
A1 Cassandra D. Marshall
YR 2015
UL https://pm-research.com/content/18/3/53.abstract
AB A bond pricing formula introduced by Arnold [2014] and Arnold and Earl [2014] is used as the basis for calculating bond duration and convexity. By calculating a present value annuity using the coupon rate as the discount rate, approximations for bond duration and convexity emerge that are much less calculation intensive and are reasonably accurate.TOPICS: Fixed income and structured finance, statistical methods