Duration and convexity

From Macaulay’s average time to payment to Ho’s key rate durations.

Macaulay duration

Macaulay duration

Hicks: duration as an elasticity (modified duration)

Hicks: duration as an elasticity (modified duration)

Fisher-Weil duration

Fisher-Weil duration

Bierwag-Kaufman-Toevs: convexity

Bierwag-Kaufman-Toevs: convexity

Ho’s key rate durations

Ho's key rate durations