CONVX Function

Returns the convexity for an enumerated cash flow.

Category:

Financial

Syntax

CONVX(y,f,c(1), ... ,c(k))

specifies the effective per-period yield-to-maturity, expressed as a fraction.

Range

0 < y < 1

specifies the frequency of cash flows per period.

Range

f > 0

specifies a list of cash flows.

The CONVX function returns the value

\begin{matrix} C = Σ_{k = 1}^{K} \frac{k (k + f) \frac{c (k)}{{(1 + y)}^{\frac{k}{f}}}}{P ({(1 + y)}^{2}) f^{2}} \end{matrix}

The following relationship applies to the preceding equation:

\begin{matrix} P = Σ_{k = 1}^{K} \frac{c (k)}{{(1 + y)}^{\frac{k}{f}}} \end{matrix}

data _null_;
   c=convx(1/20,1,.33,.44,.55,.49,.50,.22,.4,.8,.01,.36,.2,.4); 
   put c;
run;

The value that is returned is 42.3778.