Convexity.

Syntax

[pc, yc] = bondconv(sd, md, rv, cpn, yld, per, basis)
[pc, yc] = bondconv(sd, md, rv, cpn, yld, per)
[pc, yc] = bondconv(sd, md, rv, cpn, yld)

Arguments

sd

Settlement date. Enter as serial date number or date string. sd must be earlier than or equal to md.

md

Maturity date. Enter as serial date number or date string.

rv

Redemption (par, face) value.

cpn

Coupon rate. Enter as a decimal fraction.

yld

Yield. Enter as a decimal fraction.

per

Coupons per year. An integer. Default = 2.

basis

Day-count basis: 0 = actual/actual (default), 1 = 30/360,
2 = actual/360, 3 = actual/365.

Description

Example

[pc,yc] = bondconv('12/1/1994','1/1/2000',100, 0.05, 0.0434, 2,0)
pc =
         92.13 (periods)
yc =
         23.03 (years)

See Also

Reference