Purpose – The purpose of this paper is to derive an easy-to-implement and highly accurate formula to approximate the change in the bond price resulting from a change in interest rates. Design/methodology/approach – The bond price is raised to an infinitesimal power and the Taylor series...

Purpose – The purpose of this paper is to derive an easy‐to‐implement and highly accurate formula to approximate the change in the bond price resulting from a change in interest rates. Design/methodology/approach – The bond price is raised to an infinitesimal power and the Taylor series...