bondConvexity

bondConvexity(settlement, maturity, coupon, yield, [frequency], [basis=1], [bondType=0])

settlement is a scalar or vector of DATE type, indicating the marketable security's settlement date. The settlement date is the date after the issue date when the security is traded to the buyer.

maturity is a scalar or vector of DATE type of the same length as settlement, indicating the marketable security's maturity date. The maturity date is the date when the security expires.

coupon is a numeric scalar or vector indicating the annual coupon rate of the marketable security.

yield is a numeric scalar or vector indicating the annual yield of the marketable security.

frequency (optional) is an integer or a vector of integers indicating the number of coupon payments per year. This parameter is required when bondTypeis 0 or unspecified. It can be:

• 1: Annual payments

• 2: Semi-annual payments

• 4: Quarterly payments

• 12: Monthly payments

basis (optional) is an integer or a vector of integers indicating the day count basis to use. It can be:

bondType (optional) is an integral scalar or vector indicating the bond type. It can be:

• 0 (default): Fixed-rate bond, where interest is paid periodically (quarterly, semi-annually, or annually) based on the coupon rate.

• 1: Discount bond, where no interest is paid, and the bond is issued at a discount. FV at maturity = face value.

• 2: Zero-coupon bond, where interest and face value are paid at maturity. FV at maturity = face value + interest.

Note: All arguments specified in vectors must have the same length.

bondConvexity returns the bond convexity for each 100 face value of a security with regular interest payments. Bond convexity is a measure of the non-linear relationship of bond prices to changes in interest rates, and is defined as the second derivative of the price of the bond with respect to interest rates.

Return value: Scalar or vector of type DOUBLE.

Calculate the convexity of a bond purchased on January 1, 2023, with maturity on December 31, 2030. The bond has an annual coupon rate of 0.05, an expected yield of 0.06, an annual interest payment frequency, and uses the actual/actual day count basis.

bondConvexity(settlement=2023.01.01, maturity=2030.12.31, coupon=0.05, yield=0.06, frequency=1, basis=1)
// output
50.78238914091385