FISA.NET
Calculatorcalculate
Calculate an estimated convexity.
Definition
Namespace: com.ftlabs.fisa.calc
Assembly: FISA.NET (in FISA.NET.dll) Version: 1.16.0.13 (1.16.0.13)
an estimated convexity.
Assembly: FISA.NET (in FISA.NET.dll) Version: 1.16.0.13 (1.16.0.13)
C#
double calculateEstimatedConvexity(
double pv1b,
double price,
double yield
)VB
Function calculateEstimatedConvexity (
pv1b As Double,
price As Double,
yield As Double
) As DoubleParameters
- pv1b Double
- The average price value obtained by varying the yield up and down one basis point, as returned by the calculatePriceValue1BP method.
- price Double
- the price.
- yield Double
- the yield.
Return Value
Doublean estimated convexity.
Remarks
This is usually faster than the actual convexity method.
Exceptions
| CalculationException | CalculationException |