Bond Analysis
10 lessons
This series introduces the key concepts of bond analysis, including Macaulay duration, Modified duration, and convexity.
Lessons
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.
This video provides an introduction to the bond concept and the steps involved in calculating it.
This video takes a simple example and demonstrates how the duration of the bond is calculated using excel.
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 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.
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