For the moment, it is not possible to calculate the convexity of a repo in Tradista. Convexity is a commonly used measure for trading and should be added to Tradista repo trading dashboards.
The solution is to add a new measure named "CONVEXITY" for both GC and specific repos pricers.
Convexity is the measure of the repo value sensitivity to non linear interest rates variations. In other words, it measures how the repo value change when interest rate change significantly.
The formula to give an approximation of the convexity is: $T^2+T/(1+r)^2$ where $T$ is the trade duration and $r$ is the interest rate.
Example:
The repo duration is 30 days, the interest rate is 3%.
The (approximate) convexity is 0,085
For the moment, it is not possible to calculate the convexity of a repo in Tradista. Convexity is a commonly used measure for trading and should be added to Tradista repo trading dashboards.
The solution is to add a new measure named "CONVEXITY" for both GC and specific repos pricers. Convexity is the measure of the repo value sensitivity to non linear interest rates variations. In other words, it measures how the repo value change when interest rate change significantly. The formula to give an approximation of the convexity is: $T^2+T/(1+r)^2$ where $T$ is the trade duration and $r$ is the interest rate.
Example: The repo duration is 30 days, the interest rate is 3%. The (approximate) convexity is 0,085