Some authors give the following formula for the approximate convexity measure: P1 1 P2 2 21P0 2

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

P1 1 P2 2 21P0 2 21P02 1Dy22 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

ISBN: 9780132743549

8th Edition

Authors: Frank J Fabozzi

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Question Posted: Jul 28, 2024 05:00 AM

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Some authors give the following formula for the approximate convexity measure: P1 1 P2 2 21P0 2

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Bond Markets Analysis And Strategies

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