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The Abcs Of Modified Bond Duration And Wxyzs Of Bond Convexity, Tom Arnold, Andrew C. Szakmary
The Abcs Of Modified Bond Duration And Wxyzs Of Bond Convexity, Tom Arnold, Andrew C. Szakmary
Finance Faculty Publications
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.