CONVXP

CONVXP

Returns the convexity for a periodic cashflow stream, such as a bond

Category: Financial

Syntax

CONVXP(A,c,n,K,k₀,y)

A

the par value.

Range:

A > 0

c

the nominal per-period coupon rate, expressed as a fraction.

Range:

0 < c < 1

n

the number of coupons per period.

Range:

n > 0 and is an integer

K

the number of remaining coupons.

Range:

K > 0 and is an integer

k₀

the time from present to the first coupon date, expressed in terms of the number of periods.

Range:

0 < k₀ > 1/n

y

the nominal per-period yield-to-maturity, expressed as a fraction.

Range:

y > 0

The CONVXP function returns the value

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where

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[IMAGE] for k=1, ..., K-1

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and where

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c=convxp(1000,1/100, 4,14,.33/2,.10);

The value returned is 11.6023.