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Bond Duration
Asset Liability Management Editors Choice EXCEL Examples Fixed Income Portfolio Risk

Duration and Convexity for US Treasuries

February 28, 2013April 6, 2020

4 mins read time To demonstrate how to calculate Duration and Convexity for specific […]

Middle Office and VaR

Limits: Trading Limits – Duration, Convexity and PVBP Limits

January 18, 2011March 8, 2018

2 mins read time Other Limits Duration Limits Duration measures the sensitivity of the […]

Asset Liability Management

Bond Convexity and Sensitivity for Fixed Income securities

December 10, 2010March 28, 20161 Comment

2 mins read time Bond Convexity calculation example A working example of bond convexity […]

Asset Liability Management

Duration Convexity Calculation Example: Working with Effective Duration

December 10, 2010March 8, 2018

< 1 min read A working example of effective duration calculation. Earlier we had reviewed […]

Calculating Bond Convexity & Duration in Excel Spreadsheets
Asset Liability Management

Macaulay Duration – EXCEL Calculation

December 10, 2010December 5, 20191 Comment

2 mins read time This post presents a working example of  Macaulay & Modified duration […]

Asset Liability Management

Interest Rate Risk: Convexity

December 10, 2010April 23, 2019

4 mins read time A normal shaped price-yield curve, such as the one given […]

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