Blog

Convexity & Duration calculator for US Treasuries

Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration […]

Related posts:

  1. Duration & Convexity Calculation Example: Working with Effective Duration
  2. Duration & Convexity calculation example: Working with Macaulay & Modified Duration
  3. Duration & Convexity Calculation Example: Working with Convexity and Sensitivity