Duration plus a convexity adjustment is a good estimate (approximation) of the bond's price change. We can express this change in percentage terms(%) as given by ΔP/P = -D*Δy + 0.5*C*(Δy)^2; or we can express this in dollar terms ($) as given by ΔP =∂P/∂y*Δy + 0.5*∂^2P/∂y^2*(Δy)^2.
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convexity formula excel Fixed Income: Duration plus convexity to approximate bond price change (FRM T4-38) | |
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