Could you please explain why the convexity numerator column is calculated as c*t*(t+1)*v^(t+2) Thanks
For the formula itself see page 27 of chapter 11. If we differentiate the PV of a cashflow twice: PV of cashflow at time t = c * v^t = c * (1+i)^-t Differentiate once with respect to i = -c * t * (1+i)^-t-1 Differentiate again = c * t * (t+1) * (1+i)^-t-2 = c * t * (t+1) * v ^(t+2) as required. Joe
