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FRN Risk Statistic Calculations

A number of statistics can be used to describe the sensitivity of the instrument's price to a change in the yield. The standard measures of Macaulay's duration, modified duration, convexity, and PVBP (present value of a basis point), are presented. All of these measures rely on either the first derivative of bond price with respect to yield or the second derivative of bond price with respect to yield.

 

Due to the nature of FRN calculations, the first and second derivatives are required to be approximated using the discrete risk statistics calculation.

 

See Also

Discrete Risk Statistic Calculations

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