All Posts

All Duration Posts

  1. Calculating EXCEL Duration Between Bond Coupon Payments
  2. Fixed Income Risk: Calculating Value at Risk (VaR) for Bonds
  3. Bond Duration Convexity calculations for US Treasuries
  4. Limits: Trading Limits – Duration, Convexity and PVBP Limits
  5. Duration Convexity Calculation Example: Working with Effective Duration
  6. Macaulay Duration Excel calculation example
  7. Interest Rate Risk: Convexity
  8. Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
  9. Duration Convexity Asset Liability Management