duration

Learning Objectives: Describe an interest rate bucketing approach, define forward bucket 01, and compare forward bucket 01s to KR01s. Calculate the corresponding duration measure given a KR01 or forward bucket 01. 24.17.1. An investment analyst is calculating the forward bucket 01 of a bond...

Learning Objectives: Describe a one-factor interest rate model and identify common examples of interest rate factors. Calculate the DV01, duration, and convexity of a portfolio of fixed-income securities. Describe an example of hedging based on effective duration and convexity. Questions...

What is the convention when plotting Duration/Convexity graph, Price is in the X axis or in the Y axis? From what I have seen they graph Yield on the x-axis when plotting duration/convexity but I read somewhere that David explained that price determines the yield and not viceversa; so price...

In our latest Week in Financial Education (WIFE), Richie's new video helpfully reviews a series of duration questions, including modified, Macaulay, money duration and price value of basis point (PVBP; aka, PV01). Compared to the FRM, the CFA's approach to duration differs only slightly. The...

For those of you studying for the L1 CFA exam, it’s crucial to be good at the fundamental topics. With that in mind, in this archived webinar Richie Owens, CFA, walks through how to tackle some of the classic duration questions you might face on the day.

In this playlist, David has already recorded at least ten videos on duration and convexity which are the two most common measures of single-factor interest rate risk. So, in this video, we wrap it up in one simple explanation that tries to illustrate both duration and convexity and how we apply...

The previous videos in this playlist have illustrated how we calculate the two most popular measures of single factor interest rate sensitivity, that is duration and dv01, also called price value of the basis point. Now, knowing how these calculations work we will apply them to understand some...

Duration plus a convexity adjustment is a good estimate (approximation) of the bond's price change. We can express this change in percentage terms(%) as given by ΔP/P = -D*Δy + 0.5*C*(Δy)^2; or we can express this in dollar terms ($) as given by ΔP =∂P/∂y*Δy + 0.5*∂^2P/∂y^2*(Δy)^2.

Dear David, Thanks a lot for video lectures they are much inspiring Still I was little bit confused with all these different names duration, modified duration, Macauly duration,.. etc...I will shortly examine mine view of this and kindly ask you to comment ( but without laughing:)) According to...

Please, could you anyone explain me why the convexity increase at an increasing rate as duration increase. I think that the duration should be decrease at an increasing rate. Best regards

Learning objective: Differentiate among the three methods of mapping portfolios of fixed income securities. Questions: 715.1. Consider a $200.00 million portfolio that is equally allocated between two bonds: the first bond pays a 5.0% annual coupon and matures in five years; the second bond...

Learning objectives: Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates. Compare and contrast the major theories of the term structure of interest rates Questions: 715.1. Consider the following continuously compounded zero (spot) rate curve...

Learning objectives: Calculate the duration, modified duration, and dollar duration of a bond. Evaluate the limitations of duration and explain how convexity addresses some of them. Questions 714.1. A very risky two-year bond with a face value of $100.00 pays a semi-annual coupon of 18.0% and...

Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value: a. Zero coupon bonds, par bonds, premium bonds b. premium bonds, par bonds, zero...

Hello everyone I watched David Harper's videos on Key Rate 01, but he uses spot rates, not par rates like in the example of Tuckman. I have problems understanding that example, maybe someone is kind enough to enlighten me a little? 1. Why are par rates used as key rates and not spot rates? Is...

FRM Fun 11. The Macaulay duration is the weighted average maturity of a bond, where the weights are the present values (as a percentage of the bond's price) of the cash flow. Hull's Table 4.6 below illustrates this nicely; the Macaulay duration of his 3-year bond is 2.653 years, which the sum...