Duration and Convexity for US Treasuries
4 mins read To demonstrate how to calculate Duration and Convexity for specific US Treasuries we select instruments from recent US Treasury bill,
4 mins read To demonstrate how to calculate Duration and Convexity for specific US Treasuries we select instruments from recent US Treasury bill,
2 mins read Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes
2 mins read Bond Convexity calculation example A working example of bond convexity and sensitivity calculation. Earlier we had reviewed the calculation process
< 1 min read A working example of effective durationĀ calculation. Earlier we had reviewed the calculation process for Macaulay and Modified Duration. In this
2 mins read This post presents a working example of Macaulay & Modified duration calculations. Earlier we had considered the importance of the Duration
4 mins read A normal shaped price-yield curve, such as the one given below, suggests that a bond’s price may not increase by