Print this page

 

DISCUSSION PAPER PI-9602

A Closed-Form Formula for Calculating Bond Convexity

David Blake and J. Michael Orszag

ABSTRACT

This paper derives a closed form formula for bond conexity along the
same lines as an earlier paper by Chua (1984) on bond duration.
We demonstrate the usefulness of our formula to fund managers.

Appears in Journal of Fixed Income , June, 1996.