Back in October I showed how to calculate effective duration and convexity on a pool of fixed rate mortgages with the help of amortization schedules. In November I posted a formula that could calculate the price of a fixed rate pool of mortgages, including the use of CPR and servicing, in one cell. That same month I had another post showing how a mortgage pool pricing table and an ALM interest rate shock analysis could be done, using the one cell formula.
I thought it might be fun to show how to calculate effective duration and convexity using the one cell formula for price:
All spreadsheets created with Excel 2013