Duration and Convexity for US Treasury Bill, Note and Bond

About the Course

The course consists of an EXCEL file that demonstrates for a 12-month US Treasury Bill, a 5-year US Treasury Note and a 30-year US Treasury Bond respectively, the calculation of their:

• Price
• Macaulay, Modified and Effective Duration
• Effective Convexity
• Percentage change in Price due to a change in the interest rate.

Learning Objectives

After taking this course you will be able to:

• Calculate prices for treasury bills, notes and bonds
• Calculate their Macaulay, modified and effective durations
• Calculate their effective convexities
• Calculate the % change in price from a change in interest rates using the durations and convexities computed

Prerequisites

Comfortable with basic mathematics and EXCEL and some familiarity with money market instruments.

Target Audience

The course is aimed primarily at banking professionals and individuals responsible for asset liability management, portfolio management and risk management within banks, insurance companies and mutual funds who need to review or refresh their understanding of ALM concepts and fundamentals for work, professional review, audit or personal development.