Effective Duration, Convexity, and Convexity Adjustment For MBS

This is an update of a post and spreadsheet I wrote in Oct. of 2014 called: “Modified & Effective Duration, Plus Convexity of a Loan”.  The previous post was hard-wired for a plus or minus 100 basis point change in yields. These new formulas and inputs allow for changes in yield other than 100 basis […]