Introduction (Yield Curve Dynamics, Convexity and Duration Review)
Active yield curve strategies are designed to capitalize on expectations regarding the level, slope, or shape (curvature) of yield curves. …
effective duration
Module 36.5 LOS 36.i: Compare the effective durations of callable, putable and straight bonds
Because call and put options can reduce the life of a bond, their effective durations will be less than or …
Module 36.5 LOS 36.i: Calculate and interpret effective duration of a callable or putable bond
We cannot use modified duration and convexity measures on bonds with embedded options as there cash flows change if an …
Module 34.6 LOS 34.i: Overview of Fixed Income Duration Concepts
Effective duration measures price sensitivity to small parallel shifts in the yield curve. Key rate duration is the sensitivity of the value …
CFA Level I: Bond Duration
Bond duration is one of the measure of interest rate risk on a bond. It measures the sensitivity of a …