I couldn’t locate the formula that calculate the % change in bond price given Effective Duration and Effecttive Convexity. Could somebody help please?
(-D)(change in rates)+©(change in rates squared) Can anyone confirm?
got it. (-ED) Delta Y * 100 + (EC * (Delta Y) squared * 100) Thanks
So if ED was 2 and EC were 1 and the Delta Y were .1 it would be: (-2 * (.1 * 100)) + (1 * ((.1^2)*100) = -20 + 1 = -19 ?