Duration & Convexity Calculation Example
A working example of duration and convexity. In these posts, we will look at the specific mechanics of the Duration (i.e. Macaulay Duration, Modified Duration and Effective Duration) and Convexity calculations.
Duration & Convexity calculation example: Working with Macaulay & Modified Duration
Duration & Convexity Calculation Example: Working with Effective Duration
Duration & Convexity Calculation Example: Working with Convexity and Sensitivity
Interest Rate Risk: Convexity
Duration, Convexity and Asset Liability Management – Calculation reference
For a more advanced understanding of Duration & Convexity, please review the Asset Liability Management – The ALM Crash course and survival guide.
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