G.2.1 Convexity

Question 1

what is the estimate for price sens using ModD and Convexity?

Answer 1

%ΔP ≈ -Δi * ModD + (Δi^2)/2 * Convexity

Question 2

what is the eqn for convexity?

Answer 2

Convexity = P”_i_0/P_i_0

Question 3

what is the sum formula for Convexity?

Answer 3

(SUM(t * (t + 1/m) * A_t * v^2) / (SUM(A_t))

Question 4

what is the formula connecting ModD, convexity and price sens?

Answer 4

%ΔP ≈ -Δi * ModD + ((Δi)^2)/2 * Convexity