PT  - JOURNAL ARTICLE
AU  - Tom Arnold
AU  - John H. Earl, Jr.
AU  - Cassandra D. Marshall
TI  - A Quick Approximation for Modified Bond Duration and Convexity
AID  - 10.3905/jwm.2015.18.3.053
DP  - 2015 Oct 31
TA  - The Journal of Wealth Management
PG  - 53--56
VI  - 18
IP  - 3
4099  - https://pm-research.com/content/18/3/53.short
4100  - https://pm-research.com/content/18/3/53.full
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