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Duration

Duration

Duration. Riccardo Colacito. Motivational example. Two bonds sell today with the same payment schedule Time 1: $10 Time 2: $20 However one has a YTM of 1% and the other one has a YTM of 99% What is the temporal distribution of the payments?. Example (cont’d). Effective maturity?.

By tayte
(234 views)

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation. Key features of bonds Bond valuation Measuring yield Assessing risk. Key Features of a Bond. 1. Par value: Face amount; paid at maturity. Assume $1,000.

By rune
(205 views)

Duration

Duration

Duration. Duration is an empirical method of measuring the true life of a bond portfolio Comes into play in determining how to manage a bond portfolio. Six Propositions Regarding Interest Rate Sensitivity. Bond prices and yields are inversely related

By lysa
(107 views)

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation. Key features of bonds Bond valuation Measuring yield Assessing risk. Key Features of a Bond. 1. Par value: Face amount; paid at maturity. Assume $1,000.

By hoang
(122 views)

Duration and Convexity by Binam Ghimire

Duration and Convexity by Binam Ghimire

Duration and Convexity by Binam Ghimire. Learning Objectives. Duration of a bond, how to compute it Modified duration and the relationship between a bond’s modified duration and its volatility Convexity for a bond, and computation

By kay
(175 views)

VALUATION OF FIXED INCOME SECURITIES

VALUATION OF FIXED INCOME SECURITIES

VALUATION OF FIXED INCOME SECURITIES. Bond: A debt instrument with periodic payments of interest and repayment of principal at maturity rM rM rM rM rM rM rM+M |___|____|____|____|____|...…..|___ | 0 1 2 3 4 5 n-1 n

By mura
(136 views)

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation. Key features of bonds Bond valuation Measuring yield Assessing risk. Key Features of a Bond. 1. Par value: Face amount; paid at maturity. Assume $1,000.

By russell-cochran
(78 views)

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation

CHAPTER 8 Bonds and Their Valuation. Key features of bonds Bond valuation Measuring yield Assessing risk. Key Features of a Bond. 1. Par value: Face amount; paid at maturity. Assume $1,000.

By jesusgerald
(1 views)


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