Applied Duration Concepts Review
Duration is the sensitivity of the price of a bond or portfolio to a change in interest rates. Unlike time …
macaulay duration
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. …
Macaulay Duration, Money Duration and Modified Duration
Macaulay duration is the weighted average time until the cash flows of an instrument are received. That is why Macaulay duration …
Immunizing a Single Liability
Immunization is a fixed-income management process in which the portfolio is managed to minimize the variability of the rate of return …
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 …