Analysis of duration and convexity of coupon obligation


Vincent SoltesMichael Soltes


Abstract

creative_2005_14_083_087_abstract

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creative_2005_14_083_087

Duration 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.

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Author(s)

Soltes , Michael, Soltes , Vincent