bondconvexity1(cpn;mat;dcb;setl;price)

Returns the bond convexity given the price (regular semiannual payments).

Syntax

bondconvexity1(cpn;mat;dcb;setl;price)

Input

Argument Type Description
cpn integer or decimal The annual coupon rate expressed as a percentage

A scalar value or the name of a column
mat integer The maturity date

A scalar value or the name of a column containing date values
dcb text The day count basis (dcb)

A text value or the name of a column

Generally, dcb should be 'ACTACT' for U.S. Treasury Notes and Bonds and 'I30360' for U.S. corporate bonds. For more information, see Daily count basis.
setl integer The settlement date

The setl argument must be a valid date and cannot be a column name or N/A.
price integer The price (without accrued interest) expressed as a percentage

A scalar value or the name of a column
Note: One of the arguments must reference a column. This does not include setl, which cannot be a column name.

Return Value

Returns the convexity of the bond as a decimal value. Bonds are assumed to pay interest semiannually with no odd payment periods. For other bonds, use bondconvexity2(cpn;mat;dcb;issu;first;freq;setl;price).

The bondconvexity1(cpn;mat;dcb;setl;price) function handles N/A values as follows:
  • If cpn, mat, or price are N/A, the result is N/A.
  • If dcb is N/A, actual/actual is used.