# Topic: Fixed Income Securities

## Yield to Maturity (YTM) of a Bond

The yield to maturity (YTM) of a bond is the rate of return earned by an investor if he holds the bond till maturity. It is the overall return earned by the investor who purchases the bond at the market price and holds it till maturity. It is the internal rate of...## Calculating Price and Yield of a Bond Using Zero Curve

In this post, we will demonstrate how you can calculate the price and the yield of a bond using a zero curve. Assume that it is a 3-year bond that pays a coupon of 6% and has a $100 par value. We also have the 3-year zero curve as shown below: The cash flows for this...## Pure Bond Indexing Strategy

It is a passive strategy, which tries to follows the weight age of index on a day to day basis. It is usually taken up with the idea of not underperforming the index, without actively handling the same aggressively. This is a follow-up strategy, with the least risk of...## Classification of Bond Indexing Strategies

There are various kinds of bonds strategies which a person could adopt to get returns out of the bonds he would like to hold in the portfolio. These include: Pure Bond Indexing Strategy Enhanced Indexing by Matching Primary Risk Factors Enhanced Indexing by Small Risk...## Modified Duration of a Bond

Modified duration indicates the percentage change in the price of a bond for a given change in yield. It is a more adjusted measure of Macaulay duration that produces a more accurate estimate of bond price sensitivity. m is the # of compounding period per year. The...## Properties of Duration

Now that we understand what duration is, and how it is calculated, let’s take a look at some of the important properties of duration. Duration of a coupon paying bond is always less than its maturity. For a non-coupon paying bond, the duration is the same as its...## Calculating the Macaulay Duration Using Excel

This video takes a simple example and demonstrates how the duration of the bond is calculated using excel. In this example, The bond has a duration of 20 years, and pays annual coupon of 3%. The current market interest rates are 4%. Duration Calculator Download the...## Duration of a Bond – Video

This video provides an introduction to the bond concept and the steps involved in calculating it.## What is Macaulay Duration?

The duration of a fixed income instrument is a weighted average of the times that payments (cash flows) are made. The weighting coefficients are the present value of the individual cash flows. where PV(t) denotes the present value of the cash flow that occurs at time...