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.
Fixed Income Securities
This video takes a simple example and demonstrates how the duration of the bond is calculated using excel.
This video provides an introduction to the bond concept and the steps involved in calculating it.
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.