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Yield based formulas for DUR and CONV
Dear David, Could you please help me in the above theme? Thanks, András- Molnár András
- Post #4
- Forum: P1.T4. Valuation & Risk Models (30%)
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Yield based formulas for DUR and CONV
Dear ShaktiRathore, Thanks for your answer, but i couldnt find the equations on that forum. The conversation was about the Duration only. And there was no yield based formula on that. What i would like to know and search, is an equation on MDUR, DV01 and Convexity expressed with a closed...- Molnár András
- Post #3
- Forum: P1.T4. Valuation & Risk Models (30%)
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Yield based formulas for DUR and CONV
Dear David, In the FRM books I have learned about the yield based Price, Duration and Convexity and DV01. Could you help me or maybe send me the general yield based Duration and Convexity formulas, where the settlement date other than coupon payment dates? This kind of Price formula is in the...- Molnár András
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- Replies: 4
- Forum: P1.T4. Valuation & Risk Models (30%)