This eCourse consists of two modules. Module 1 looks at the key types of duration figure, including Macaulay duration, modified duration, money duration, and spread duration. It also examines the use of duration in hedging and immunizing fixed income portfolios as well as looking at rate sensitivity measures for other types of fixed rate instrument such as floating rate notes, swaps, inflation-linked bonds.

Module 2 shows how convexity is calculated for a single security or a fixed income portfolio. The different types of portfolio, such as positive and negative duration, approximate portfolio, and effective duration are also discussed in detail.

On completion of this course, you will be able to:
- Recall how bond prices are sensitive to movements in yield
- Calculate the Macaulay duration and modified duration on a bond
- Identify adjustments to duration numbers to account for convexity
- Recognize how duration can be used to hedge and immunize a single bond or bond portfolio
- Identify rate sensitivity numbers for other types of fixed income instrument such as floating rate notes, swaps, and inflation-linked securities
- Recognize the importance of convexity in approximating the change in bond price that isn’t explained by duration
- Identify the different types of convexity
- Calculate the convexity number for a fixed income portfolio

Module 1: Duration Analysis
Topic 1: Bond Interest Rate Sensitivity
Topic 2: Macaulay Duration
Topic 3: Modified Duration
Topic 4: Duration Hedging & Immunization
Topic 5: Other Sensitivities

Module 2: Convexity Analysis
Topic 1: Overview of Convexity
Topic 2: Types of Convexity
Topic 3: Portfolio Convexity