楼主: chenhazz
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请教:如何用EXCEL设置凸度公式 |
大专生 38%
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回帖推荐In fact, i don't think there is a convexity formula in Excel, although duration has.
So for your problem, maybe we can work it out as followed:
1. Numerical method. Calculate the durations of yield and shocked yield, then take the difference to get convexity.
2. Definition. Calculate all convexity contributions of all cashflow and take a sum. Just like convexity formula.
3. write a VBA code!
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I want to be an excellent quant!
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