# Tag Archives: Duration

## Calculating EXCEL Duration Between Bond Coupon Payments

Excel duration between coupon dates How does EXCEL calculate DURATION for settlement dates between coupon dates? This was a question posed by one of our readers recently. We have already examined the calculation of Excel Duration and Price functions when settlement dates equal coupon payments dates in

## Limits: Trading Limits – Duration, Convexity and PVBP Limits

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

## Finance Training Course – Course Outline – Introduction to Derivative Products

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.

## Duration Convexity Calculation Example: Working with Effective Duration

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

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

## Interest Rate Risk: Duration, Macaulay Duration and Modified Duration

Duration is a measure of how rapidly the prices of interest sensitive securities change as the rate of interest changes (see application example in the ALM section). For example, if the duration of a security works out to 2 this means that for a 1% increase in interest rates the price of the instrument will decrease by 2%. Similarly, if the interest rates were to decrease by 1% the price of the security would increase by 2%.