Bond convexity given yield
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity)
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face)
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity,'ParameterName'
,ParameterValue
,
...)
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity)
computes
the convexity of NUMBONDS
fixed income securities
given the yield to maturity for each bond.
bndconvy
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, date character vectors, or datetime arrays.
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face)
computes
the convexity of NUMBONDS
fixed income securities
given the yield to maturity for each bond using optional arguments.
[YearConvexity,PerConvexity] = bndconvy(Yield,CouponRate,Settle,Maturity,
computes the convexity of 'ParameterName'
,ParameterValue
,
...)NUMBONDS
fixed
income securities given the yield to maturity 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.

Yield to maturity on a semiannual basis. 

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

Settlement date. A vector of serial date numbers, date character
vectors, or datetime arrays. 

Maturity date. A vector of serial date numbers, date character vectors, or datetime arrays. 
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, specified as a serial date number, date character vector, or datetime array. 

Date when a bond makes its first coupon payment, specified as
a serial date number, date character vector, or datetime array. Default: If you do not specify a 

Last coupon date of a bond before the maturity date, specified
as a serial date number, date character vector, or datetime array. Default: If you do not specify a 

Date, specified as a serial date number, date character vector,
or datetime array, 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 (0–7) and BUS/252 use a semiannual compounding convention and ICMA bases (8–12) 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 ICMA day counts and BUS/252, the specified bases are used. 




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.