Duration and convexity

Bond Valuation and Analysis in R

Clifford Ang

Senior Vice President, Compass Lexecon

Duration and convexity

  • You learned about duration and convexity
    • Bond price volatility as a result of:
      • Yield
      • Coupon rate
      • Time to maturity
    • Calculating duration's effect on bond price
    • Calculating convexity's effect on bond price
Bond Valuation and Analysis in R

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Bond Valuation and Analysis in R

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