Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity &
Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes in the interest rate. In order to limit the sensitivity the company needs to decide what the acceptable level of duration for the product/ portfolio
An introductory course aimed at banking, corporate, treasury and sales teams that reviews intermediate and advance derivative products with afocus on marketing and sales applications. Participants work with product, sales, pricing and risk concepts applicable to derivative markets.
Bond Convexity calculation example A working example of bond convexity and sensitivity calculation. Earlier we had reviewed the calculation process for Effective Duration. In this post we will see how bond convexity is calculated. We will also see how the Effective Duration and Convexity are
A working example of effective duration calculation. Earlier we had reviewed the calculation process for Macaulay and Modified Duration. In this post we will focus on the steps for calculating Effective Duration. Effective Duration Effective Duration is calculated using the following formula: Where, Delta_i= change in
Macaulay Duration Excel Calculation Example A working example of Macaulay & Modified duration calculation. Earlier we had considered the importance of the Duration risk metric to Asset Liability Management (ALM) and managing interest rate risk. In this post we will look at the specific mechanics of