Bond Price Volatility

Accounting
Difference Between a Journal Entry and a Memorandum Entry
January 13, 2023
Derivatives
Bear Call
January 13, 2023

The percentage change in a bond price in response to changes in interest rates. In calculation, it captures bond price change relative to bond price, as follows:

Bond Price Volatility

where:

P is bond price

D is modified duration of the bond.

r is basis point change in interest rates.

C is bond convexity.

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