Bond convexity given price
[YearConvexity, PerConvexity] = bndconvp(Price, CouponRate,
Settle, Maturity)
[YearConvexity, PerConvexity] = bndconvp(Price,
CouponRate,
Settle, Maturity, Period, Basis, EndMonthRule,
IssueDate,
FirstCouponDate, LastCouponDate, StartDate,
Face)
[YearConvexity, PerConvexity] = bndconvp(Price,
CouponRate,
Settle, Maturity,'ParameterName', 'ParameterValue
...)
[YearConvexity, PerConvexity] = bndconvp(Price, CouponRate,
computes the convexity of
Settle, Maturity)NUMBONDS
fixed
income securities given a clean price for each bond.
[YearConvexity, PerConvexity] = bndconvp(Price,
computes the convexity of
CouponRate,
Settle, Maturity, Period, Basis, EndMonthRule,
IssueDate,
FirstCouponDate, LastCouponDate, StartDate,
Face)NUMBONDS
fixed income
securities given a clean price for each bond using optional arguments.
[YearConvexity, PerConvexity] = bndconvp(Price,
computes the convexity of
CouponRate,
Settle, Maturity,'ParameterName', 'ParameterValue
...)
NUMBONDS
fixed
income securities given a clean price for each bond and accepts optional
inputs as one or more commaseparated parameter/value pairs. ParameterName'
is
the name of the parameter inside single quotes. ParameterValue
is
the value corresponding to 'ParameterName'
.
Specify parameter/value pairs in any order. Names are caseinsensitive.

Clean price (excludes accrued interest). 

Decimal number indicating the annual percentage rate used to determine the coupons payable on a bond. 

Settlement date. A vector of serial date numbers or date strings. 

Maturity date. A vector of serial date numbers or date strings. 
Enter the following inputs using an ordered syntax or as parameter/value pairs. You cannot mix ordered syntax with parameter/value pairs.

Coupons per year of the bond. A vector of integers. Values are 0, 1, 2, 3, 4, 6, and 12. Default: 2 

Daycount basis of the instrument. A vector of integers.
For more information, see basis. Default: 0 

Endofmonth rule. A vector. This rule applies only when Default: 1 

Issue date for a bond. 

Date when a bond makes its first coupon payment; used when bond
has an irregular first coupon period. When Default: If you do not specify a 

Last coupon date of a bond before the maturity date; used when
bond has an irregular last coupon period. In the absence of a specified Default: If you do not specify a 

Date when a bond actually starts (the date from which a bond
cash flow is considered). To make an instrument forwardstarting,
specify this date as a future date. If you do not specify 

Face or par value. Default: 100 
Enter the following inputs only as parameter/value pairs.

Compounding frequency for yield calculation. By default, SIA bases (07) and BUS/252 use a semiannual compounding convention and ISMA bases (812) use an annual compounding convention. 

Basis used to compute the discount factors for computing the yield. The default behavior is for SIA bases to use the actual/actual day count to compute discount factors. If you use ISMA day counts and BUS/252, the specified bases are used. 




bndconvp
determines the convexity for a bond
whether the first or last coupon periods in the coupon structure are
short or long (that is, whether the coupon structure is synchronized
to maturity). This function also determines the convexity of a zero
coupon bond.
All specified arguments must be number of bonds (NUMBONDS
)by1
or 1
byNUMBONDS
conforming
vectors or scalar arguments. Use an empty matrix ([]
)
as a placeholder for an optional argument. Fill in unspecified entries
input vectors with NaN
s. Dates can be serial date
numbers or date strings.
Krgin, Dragomir, Handbook of Global Fixed Income Calculations, John Wiley & Sons, 2002.
Mayle, Jan, "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures", SIA, Vol 2, Jan 1994.
Stigum, Marcia, and Franklin Robinson, Money Market and Bond Calculations, McGrawHill, 1996.