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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.

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.