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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.

If you would like to buy this example as an excel file, please see the Computational Finance section at our online finance course store. The online finance course store  includes easy-to-read-and-work-with downloadable pdf files, excel templates and ready-to-work with models that are shared to illustrate usage and speed up learning for advanced financial modeling, forecasting and simulation topics including interest rate forecasting and simulation, value at risk analysis, credit analysis and processes, Internal Capital Adequacy Assessment Process (ICAAP), asset liability management and other related middle office and risk and computational finance topics.

3 thoughts on “Duration & Convexity Calculation Example”

  1. Pingback: Gratuity Valuation – A Simple Example Continued – Sensitivity Analysis | Learning Corporate Finance
  2. Trackback: Gratuity Valuation – A Simple Example Continued – Sensitivity Analysis | Learning Corporate Finance
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  4. Trackback: Setting Limits Crash Course and Learning road map | Learning Corporate Finance
  5. Pingback: Convexity & Duration calculator for US Treasuries | Finance Training Course
  6. Trackback: Convexity & Duration calculator for US Treasuries | Finance Training Course

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