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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