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Daily Archives: December 10, 2010

Calculating Bond Convexity & Duration in Excel Spreadsheets

Macaulay Duration Excel calculation example

Macaulay Duration Excel Calculation Example A working example of  Macaulay & Modified duration calculation. Earlier we had considered the importance of the Duration risk metric to Asset Liability Management (ALM) and managing interest rate risk. In this post we will look at the specific mechanics of

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Interest Rate Risk: Convexity

Impact of convexity. A normal shaped price-yield curve, such as the one given below, suggests that a bond’s price may not increase by the same absolute amount when interest rates fall by a certain % as when prices decrease due to an interest rate rise