TY - JOUR T1 - A Quick Approximation for Modified Bond Duration and Convexity JF - The Journal of Wealth Management SP - 53 LP - 56 DO - 10.3905/jwm.2015.18.3.053 VL - 18 IS - 3 AU - Tom Arnold AU - John H. Earl, Jr. AU - Cassandra D. Marshall Y1 - 2015/10/31 UR - https://pm-research.com/content/18/3/53.abstract N2 - 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 ER -