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Duration and Convexity
Автор: Kevin Bracker
Загружено: 2011-07-22
Просмотров: 89351
Описание:
This video illustrates how duration can be used to approximate the change in bond price given a change in interest rates. It also introduces and discusses convexity. Next there is a discussion of using duration as part of an immunization strategy to where price risk and reinvestment rate risk offset each other. Finally, calculating duration for portfolios is discussed.
The template can be found at http://tinyurl.com/BrackerDuration2
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