Bond Analysis
This series introduces the key concepts of bond analysis, including Macaulay duration, Modified duration, and convexity.
This series introduces the key concepts of bond analysis, including Macaulay duration, Modified duration, and convexity.
Course Syllabus
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.
Duration of a Bond - Video
This video provides an introduction to the bond concept and the steps involved in calculating it.
Calculating the Macaulay Duration Using Excel
This video takes a simple example and demonstrates how the duration of the bond is calculated using excel.
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.
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.