Bond duration closed-form formula: <math>Dur=\frac{C\frac{(1+ai)(1+i)^m-(1+i)-(m-1+a)i}{i^2(1+i)^{(m-1+a)}}+\frac{100(m-1+a)}{(1+i)^{(m-1+a)}}}{P}</math> C = coupon payment per period (half-year) i = discount rate per period (half-year) a = fraction of a period remaining until next coupon payment m = number of coupon dates until maturity Look up Bond convexity closed-form formula

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  • Bond duration closed-form formula: <math>Dur=\frac{C\frac{(1+ai)(1+i)^m-(1+i)-(m-1+a)i}{i^2(1+i)^{(m-1+a)}}+\frac{100(m-1+a)}{(1+i)^{(m-1+a)}}}{P}</math> C = coupon payment per period (half-year) i = discount rate per period (half-year) a = fraction of a period remaining until next coupon payment m = number of coupon dates until maturity Look up Bond convexity closed-form formula
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  • Bond duration closed-form formula: <math>Dur=\frac{C\frac{(1+ai)(1+i)^m-(1+i)-(m-1+a)i}{i^2(1+i)^{(m-1+a)}}+\frac{100(m-1+a)}{(1+i)^{(m-1+a)}}}{P}</math> C = coupon payment per period (half-year) i = discount rate per period (half-year) a = fraction of a period remaining until next coupon payment m = number of coupon dates until maturity Look up Bond convexity closed-form formula
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  • Bond duration closed-form formula
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