EXCEL Duration Calculation between Coupon Payments
3 mins read How does the EXCEL DURATION calculation work? How do we calculate it for settlement dates between coupon dates? This is
3 mins read How does the EXCEL DURATION calculation work? How do we calculate it for settlement dates between coupon dates? This is
2 mins read Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes
< 1 min read A working example of effective duration calculation. Earlier we had reviewed the calculation process for Macaulay and Modified Duration. In this
2 mins read This post presents a working example of Macaulay & Modified duration calculations. Earlier we had considered the importance of the Duration
2 mins read 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%.
2 mins read Duration Convexity and Asset Liability Management What is the relationship between Duration, Convexity and Asset Liability management. Let’s take a