A Quick Approximation for Modified Bond Duration and Convexity

Tom Arnold; John H. Earl; Cassandra D. Marshall

doi:10.3905/jwm.2015.18.3.053

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.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: tarnold@richmond.edu

John H. Earl Jr.

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.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
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.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: cmarshal@richmond.edu

Article
Info & Metrics
PDF (Subscribers Only)

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform

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.

View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Username *

Password *

Forgot your user name or password?

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Wealth Management

Vol. 18, Issue 3

Winter 2015

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Wealth Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following A Quick Approximation for Modified Bond Duration and Convexity

Message Subject (Your Name) has sent you a message from The Journal of Wealth Management

Message Body (Your Name) thought you would like to see the The Journal of Wealth Management web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

A Quick Approximation for Modified Bond Duration and Convexity