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

Click below to download supplemental content.

ABC-Duration-Excel Template-V2.xlsx (12 kB)

Share

COinS