Modified & Effective Duration, Plus Convexity of a Loan

The spreadsheet has been changed for this post. Please go to: Effective Duration, Convexity, and Convexity Adjustment For Loans My last post showed the formula to calculate a Macaulay Duration on an amortizing loan. The definition of a Macaulay Duration I used was “an effort to more accurately measure the term of an option-free fixed […]