effective-duration

Which is nearest to, respectively, the effective duration and effective convexity of a 15- year bond that pays a 9.0% semi-annual compound and yields 12.0% per annum with semiannual compounding?

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...

Macaulay duration is the bond's weighted average maturity (where the weights are each cash flow's present value as a percent of the bond's price; in this example, the bond's Macaulay duration is 2.8543 years. Modified duration is the true (best) measure of interest rate risk; in this example...

Effective duration approximates modified duration. Both express interest rate sensitivity: an effective (or modified) duration of 6.2 years tells us to expect a 0.620% price change if the yield changes by 10 basis points; i.e., 0.10% ∆y * 6.2 years = 0.620% ∆P. Effective duration is given by...

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...

Learning objectives: Explain the process of calculating the effective duration and convexity of a portfolio of fixed income securities. Explain the impact of negative convexity on the hedging of fixed income securities. Construct a barbell portfolio to match the cost and duration of a given...

Learning objectives: Define, compute, and interpret the effective duration of a fixed income security given a change in yield and the resulting change in price. Compare and contrast DV01 and effective duration as measures of price sensitivity. Define, compute, and interpret the convexity of a...