CONVXP Function

CONVXP Function

Returns the convexity for a periodic cash flow stream, such as a bond

Category: Financial

Syntax

CONVXP ( A,c,n,K,k ,y )

Arguments

A

• specifies the par value.

• Range: A > 0

c

• specifies the nominal per-period coupon rate, expressed as a fraction.

• Range: ‰ c < 1

n

• specifies the number of coupons per period.

• Range: n > 0 and is an integer

K

• specifies the number of remaining coupons.

• Range: K > 0 and is an integer

k

• specifies the time from the present date to the first coupon date, expressed in terms of the number of periods.

• Range:

y

• specifies the nominal per-period yield-to-maturity , expressed as a fraction.

• Range: y > 0

Details

The CONVXP function returns the value

where

and where

Examples

The following example demonstrates the use of CONVXP with a face value of 1000, an annual coupon rate of 0.01, 4 coupons per year, 14 remaining coupons, time from settlement date to next coupon is 0.165, and the price with accrued interest is 800.

 data _null_;     y=convxp(1000,.01,4,14,.33/2,800);  put y;  run; 

The value returned is 11.6023.