Analytical Approach to Calculating VaR (Variance-C...We earlier saw how VaR can be calculated using the parametric method. We will now look at this metho...
Lessons
- What is Macaulay Duration?
- Duration of a Bond - Video
- Calculating the Macaulay Duration Using Excel
- Properties of Duration
- Modified Duration of a Bond
- Calculating Price and Yield of a Bond Using Zero Curve
- Price-Yield Relationship
- Current Yield of a Bond
- Basis Point Value (BPV / DV01)
- Quick Approximation of Price Value of a Basis Point (PVBP)
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%.
Download the duration calculator to calculate the duration and modified duration of a bond.
Lesson Resources
This excel calculator helps you to calculate the duration and modified duration of a bond.
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