Some authors give the following formula for the approximate convexity measure: where the variables are defined as

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Some authors give the following formula for the approximate convexity measure:

where the variables are defined as in equation (4.24) of this chapter. Compare this formula with the approximate convexity measure given by equation (4.24). Which formula is correct?

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Bond Markets Analysis and Strategies

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Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:26 AM

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Some authors give the following formula for the approximate convexity measure: where the variables are defined as

Question:

P+P-2P 2P, (Av)

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Below is equation 424 We see that the two equations are identical except that the denominator in the ...View the full answer

Bond Markets Analysis and Strategies

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