Bond duration closed-form formula


Bond duration closed-form formula

Bond duration closed-form formula:

Dur=frac{Cfrac{(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}

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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