effective-duration

  1. P

    Effective duration & convexity

    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?
  2. Nicole Seaman

    YouTube T4-36: Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac)

    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...
  3. Nicole Seaman

    YouTube T4-34: Fixed Income: Effective duration

    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...
  4. Branislav

    Hull, Instructional video , ch4 -Duration

    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...
  5. Nicole Seaman

    P1.T4.910. Barbells and bullets (Tuckman Ch.4)

    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...
  6. Nicole Seaman

    P1.T4.909. Effective duration and convexity (Tuckman Ch.4)

    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...
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