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Index Calculus
CPI t
CPI i ,t 0
= CPI level on the calculation date
= CPI level on the base date of bond i
CPI t ( y 1)
= CPI level one year prior to the calculation date
CVt
= Cash payment of all bonds at time t
CVi ,t
= Cash payment of bond i at time t
CVt Coupons
= Coupon payments of all bonds i at time t
CVt Redemptions
= Redemption payments of all bonds at time t
Coupons
i ,t
= Coupon payment of bond i at time t
Redemptions
i ,t
= Redemption payment of bond i at time t
a
i ,t
= Annual convexity of bond i at time t
CV
CV
CX
CX i ,t
CX
= Convexity of bond i at time t
S
i ,t
= Semi-annualized convexity of bond i at time t
CXPU
s
t
= Average semi-annualized portfolio convexity at time t
CXPU
S
i ,t
= Average semi-annualized portfolio convexity for bond i at time t
CXPU ta
= Average annual portfolio convexity at time t
CXPU ia,t
= Average annual portfolio convexity for bond i at time t
CXU ts
= Average semi-annualized convexity at time t
CXU iS,t
= Average semi-annualized convexity for bond i at time t
CXU ta
= Average annual convexity at time t
CXU
a
i ,t
Di ,t
= Average annual convexity for bond i at time t
= Duration of bond i at time t
d1, d 2
= Day of date ½
Dat(Ca , Cb ) = Date of coupon change
= Date of i-th coupon payment
Dat(Ci )
= Date of the (next) coupon payment
Dat(Ci 1 )
Dat(CF )
= Fictitious coupon date one exact coupon period before the first coupon payment date
Dat(CF 1 )
= Fictitious coupon date one exact coupon period prior to Dat(CF )
days (date1, date 2) = Function to calculate the number of days between two dates for the ACT/ACT day count
convention
days ACT
days MM (t  s, t )
DP
DPU t
= Day count fraction using the actual number of days in the period
DPU i ,t
= Average portfolio duration for bond i at time t
DU t
DU i ,t
= Average duration at time t
fi
= Amount invested for bond i
= Day count fraction between dates t-s and t according to the prevailing money market day count
= Dirty Price
= Average portfolio duration at time t
= Average duration for bond i at time t
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