Analysis of duration and convexity of coupon obligation
Vincent Soltes ♦ Michael Soltes
Abstract
creative_2005_14_083_087_abstractFull PDF
creative_2005_14_083_087Duration and convexity of coupon bonds are analysed in this paper. There is derived new formula for duration of the coupon bonds. The proof is based on the calculation of the sum some special sequences without using derivation and integration.