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KIC000058 - Convexity Measures fl dy’ d2 1 Convex Me...

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Unformatted text preview: Convexity Measures DnllarConvexityMaasure: fl dy’ d2}, 1 Convex Me sure: —— “V a dy’ P Percentage change In price due to convexity is = $020me Measure)(dv)‘ fl_ ' «HIE n(n+l)M So we need => d); '§(1+y3'*’ +7 +y)"“ C Q E — 1 2Cn n(n+l)(M—-) «M y’[' aw] y‘(1+y)"'+ our“ ‘ ”mm” Convexity Measure in Years - Same concept as duration, but squared in denominator => Convexlty Measure ‘In years = Convexity measure ‘In m periods per year I m2 til-II numiizlmimim‘m uguhudhnnual‘fllld WA _ fwu—e‘ “‘u‘vm‘f’j‘w‘mwfi WW. 4 w—m, mm—nmmmm—v“ a. ...
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