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Duration Convexity – EXCEL Example

00043

Duration Convexity – EXCEL Example 00043
The course consists of an EXCEL file that calculates the following for a fixed income bond: a. Price of the security derived from first principles & EXCEL’s PRICE function b. Macaulay duration of the bond derived using its formula & verifying it using EXCEL’s formula c. Modified duration of the bond derived using its formula & verifying it using EXCEL’s formula d.Effective duration of the bond e. Effective convexity of the bond f. Approximate price changes using the duration & convexity
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Course Type:EXCEL download
Files Included:1 worksheet
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