Duration and Convexity Calculations (Hull, Interest Rates)

1 month ago
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In this video I study duration and convexity calculations. How to calculate portfolio prices, and portfolio durations is discussed. How approximate changes in bond prices are calculated using a Taylor series involving duration and convexity terms is also discussed. The example we use is similar to a problem out of the Hull, "Options Futures, and Derivatives" text chapter on Interest Rates.

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