请教：如何用EXCEL设置凸度公式 [推广有奖]

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chenhazz 发表于 2010-10-9 14:22:53 |AI写论文

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在没有专业软件的前提下，利用EXCEL进行债券投资分析的设置是最基础，但是真的不知道该怎样设置公式，计算债券的凸度，当然根据凸度的原理公式还原数据不算，还请达人能教一下，如何在EXCEL中设置计算凸度的公式，

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关键词：用excel EXCEL xcel exce cel 请教 EXCEL 公式设置凸度

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vertigo 发表于2楼查看完整内容

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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vertigo 发表于 2010-10-9 18:28:57

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!

1. is fast, 2 is complicated but intuitive, 3 is "one kill for all"