Hedging Fixed Income Risk

Overview


Portfolio Duration



let du = await import('/lib/finance/fixed-income/duration/v1.0.0/duration-convexity.mjs');

let cashFlows = [
  {t:0.5, value:10},
  {t:1.0, value:10},
  {t:1.5, value:10},
  {t:2.0, value:10},
  {t:2.0, value:100},
];

let rate = function(t){
  return 0.05						
}

let duration = du.duration(cashFlows, rate);
Try it!

Contents