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- Topic: computing bond duration
| Author | Topic: computing bond duration |
|---|---|
| trieu @2015-11-05 12:33:44 |
In the CFA Center notes for Session 15 LOS B.g, we are given the following formula: Duration = (Price if yields decline - Price if yields rise)/ (2 x initial price x change in yield in decimal) Is this correct? I can't figure out how to read the formula and I don't have the Fabozzi textbook. |
| shawn @2015-11-09 14:00:19 |
That's correct. You should practice these 4 basic questions for that los to better understand the formula. |
| trieu @2015-12-05 12:00:40 |
Thanks. The practice questions really did help to make it clearer. |
| paulhugan2k @2016-02-09 00:31:38 |
Also remember the convexity formula: ( Price when yield decline + Price when yield rise - 2 * Price with no change in yield ) / ( Price with no change in yield * squared change in yield ) The formula to calculate change in price when you have duration and convexity data: Price change (%) = - duration * change in yield(%) + 0.5 * convexity * squared change in yield(%) |
CFA Discussion Topic: computing bond duration
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