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Article

A Quick Approximation for Modified Bond Duration and Convexity

Tom Arnold, John H. Earl and Cassandra D. Marshall
The Journal of Wealth Management Winter 2015, 18 (3) 53-56; DOI: https://doi.org/10.3905/jwm.2015.18.3.053
Tom Arnold
is the F. Carlyle Tiller Chair in Business for the Department of Finance in the Robins School of Business at the University of Richmond in Richmond, VA. tarnold@richmond.edu
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  • For correspondence: tarnold@richmond.edu
John H. Earl
is an associate professor of finance in the Department of Finance in the Robins School of Business at the University of Richmond in Richmond, VA. jearl@richmond.edu
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  • For correspondence: jearl@richmond.edu
Cassandra D. Marshall
is an assistant professor of finance in the Department of Finance in the Robins School of Business at the University of Richmond in Richmond, VA. cmarshal@richmond.edu
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  • For correspondence: cmarshal@richmond.edu
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Abstract

A bond pricing formula introduced by Arnold [2014] and Arnold and Earl [2014] is used as the basis for calculating bond duration and convexity. By calculating a present value annuity using the coupon rate as the discount rate, approximations for bond duration and convexity emerge that are much less calculation intensive and are reasonably accurate.

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The Journal of Wealth Management: 18 (3)
The Journal of Wealth Management
Vol. 18, Issue 3
Winter 2015
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A Quick Approximation for Modified Bond Duration and Convexity
Tom Arnold, John H. Earl, Cassandra D. Marshall
The Journal of Wealth Management Oct 2015, 18 (3) 53-56; DOI: 10.3905/jwm.2015.18.3.053

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A Quick Approximation for Modified Bond Duration and Convexity
Tom Arnold, John H. Earl, Cassandra D. Marshall
The Journal of Wealth Management Oct 2015, 18 (3) 53-56; DOI: 10.3905/jwm.2015.18.3.053
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  • Article
    • Abstract
    • MODIFIED DURATION AND A QUICK APPROXIMATION
    • CONVEXITY AND A QUICK APPROXIMATION
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
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