Abstract
By breaking the mathematical derivation of Macaulay Duration, Modified Duration, and Bond Convexity into smaller easily calculated component parts, a more manageable means of calculation for these bond measures emerges for the student. Further, an Excel spreadsheet or an algorithm within a programming language can also be implemented using these smaller component calculations. The Excel template provided can be made into an assignment or used as a resource for the student.
Document Type
Working Paper
Publication Date
3-2024
Recommended Citation
Arnold, Tom, C., Andrew C. Szakmary. "The ABCs of Modified Bond Duration and WXYZs of Bond Convexity," University of Richmond Robins School of Business, (2024): 1-13.
