Duration Convexity – EXCEL Example
About the Course
The course consists of an EXCEL file that calculates the following for a fixed income bond:
- The price of the security derived from first principles and EXCEL’s PRICE function
- The Macaulay duration of the bond derived using its formula and verifying this calculation using EXCEL’s formula
- The Modified duration of the bond derived using its formula and verifying this calculation using EXCEL’s formula
- The effective duration of the bond
- The effective convexity of the bond
- The approximate price changes using the computed duration & convexity measures for an increase and decrease in YTM
After taking this course you will be able to:
- Calculate the price of a fixed income bond from first principals as well as by using EXCEL’s built in functionality
- Calculate its Macaulay and modified using their respective formula as well as by using EXCEL’s built in functionality
- Calculating the effective duration and convexity of the bond
- Calculate the approximate % change in price arising from a change in YTMs using the duration and/or convexity computed
Comfortable with basic mathematics and EXCEL and some familiarity with money market instruments.
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.