The purpose of this article is to present Macaulay's Duration as well as the concepts of convexity and immunization which follow from this notion. It demonstrates the main properties of duration and especially those related to the measurement of interest rate risk and its cover. A few numerical examples are shown and discussed.
AFTALION, F. (1997). Duration, convexité, immunisation. Bankers, Markets and Investors, pp. 43-46.