Duration and Convexity for US Treasuries
4 mins read time To demonstrate how to calculate Duration and Convexity for specific […]
Limits: Trading Limits – Duration, Convexity and PVBP Limits
2 mins read time Other Limits Duration Limits Duration measures the sensitivity of the […]
Bond Convexity and Sensitivity for Fixed Income securities
2 mins read time Bond Convexity calculation example A working example of bond convexity […]
Duration Convexity Calculation Example: Working with Effective Duration
< 1 min read A working example of effective duration calculation. Earlier we had reviewed […]
Macaulay Duration – EXCEL Calculation
2 mins read time This post presents a working example of Macaulay & Modified duration […]
Interest Rate Risk: Convexity
4 mins read time A normal shaped price-yield curve, such as the one given […]