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Bond duration | A Wisdom Archive on Bond duration | | Bond duration A selection of articles related to Bond duration | |
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| ARTICLES RELATED TO Bond duration | | | |  Bond duration: Encyclopedia II - Bond duration - Embedded options and effective durationFor bonds that have embedded options, Macauley duration and modified duration will not correctly approximate the price move for a change in yield. Consider a bond with an embedded put option. As an example, a $1,000 bond that can be redeemed by the holder at par at points before the bond's maturity. No matter how high interest rates become, the price of the bond will never go below $1,000. This bond's price sensitivity to interest rate changes is different than a non-puttable bond with identical cashflows. Bonds that have embedded options sh ...
See also:Bond duration, Bond duration - Price, Bond duration - Cash Flow, Bond duration - Macaulay duration, Bond duration - Modified duration, Bond duration - Embedded options and effective duration, Bond duration - Convexity, Bond duration - Average duration, Bond duration - PVO1, Bond duration - Lists Read more here: » Bond duration: Encyclopedia II - Bond duration - Embedded options and effective duration |
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| | | | Bond duration: Encyclopedia II - Bond valuation - General relationships
Bond valuation - The present value relationship.
The fair price of a straight bond (a bond with no embedded option) is determined by discounting the expected cash flows:
Cash flows:
the periodic coupon payments C, each of which is made every t periods;
the par or face value F, which is payable at maturity of the bond after T periods.
Discount rate: the required (annually compounded) yield or rate of return r.
r is the market interest rate for new bond issues with similar risk rati ...
See also:Bond valuation, Bond valuation - General relationships, Bond valuation - The present value relationship, Bond valuation - Coupon yield, Bond valuation - Current yield, Bond valuation - Yield to Maturity, Bond valuation - Bond pricing, Bond valuation - Relative price approach, Bond valuation - Arbitrage free pricing approach Read more here: » Bond valuation: Encyclopedia II - Bond valuation - General relationships |
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| | | | Bond duration: Encyclopedia II - Immunization finance - Difficulties Immunization, if possible and complete, can protect against term mismatch but not against other kinds of financial risk such as default by the borrower (of a bond).
Users of this technique include banks, insurance companies, pension funds, and bond brokers.
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See also:Immunization finance, Immunization finance - Cash Flow Matching, Immunization finance - Duration matching, Immunization finance - Immunization in Practice, Immunization finance - Difficulties, Immunization finance - Recommended Reading Read more here: » Immunization finance: Encyclopedia II - Immunization finance - Difficulties |
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| | | | Bond duration: Encyclopedia II - Bond valuation - Bond pricing
Bond valuation - Relative price approach.
Here the bond will be priced relative to a benchmark, usually a government security. The discount rate used to value the bond is determined based on the bond's rating relative to a government security with similar maturity. The better the quality of the bond, the smaller the spread between its required return and the YTM of the benchmark. This required return is then used to discount the bond cash flows as above.
Bond valu ...
See also:Bond valuation, Bond valuation - General relationships, Bond valuation - The present value relationship, Bond valuation - Coupon yield, Bond valuation - Current yield, Bond valuation - Yield to Maturity, Bond valuation - Bond pricing, Bond valuation - Relative price approach, Bond valuation - Arbitrage free pricing approach Read more here: » Bond valuation: Encyclopedia II - Bond valuation - Bond pricing |
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| | | | Bond duration: Encyclopedia II - List of finance topics - Financial regulation
List of finance topics - Designations and accreditation.
Certified Financial Planner
Chartered Financial Analyst
CFA Institute
Chartered Financial Consultant
Canadian Securities Institute
Independent Financial Adviser
Chartered Insurance Institute
List of finance topics - Fraud.
Insider trading
Legal Origins Theory
Petition mill
Ponzi scheme
...
See also:List of finance topics, List of finance topics - Fundamental financial concepts, List of finance topics - Accounting financial records, List of finance topics - Institutional setting, List of finance topics - Financial services companies, List of finance topics - Banking terms, List of finance topics - Financial regulation, List of finance topics - Designations and accreditation, List of finance topics - Fraud, List of finance topics - Industry bodies, List of finance topics - Regulatory bodies, List of finance topics - United States legislation, List of finance topics - Financial markets, List of finance topics - Market and instruments, List of finance topics - Equity market, List of finance topics - Bond market, List of finance topics - Money market, List of finance topics - Commodity market, List of finance topics - Derivatives market, List of finance topics - Valuation, List of finance topics - Discounted cash flow valuation, List of finance topics - Relative valuation, List of finance topics - Contingent claim valuation, List of finance topics - Corporate finance, List of finance topics - Investment management, List of finance topics - Personal finance, List of finance topics - Public finance, List of finance topics - Insurance, List of finance topics - Economics and finance, List of finance topics - Mathematics and finance, List of finance topics - Time value of money, List of finance topics - Financial mathematics, List of finance topics - Constraint finance, List of finance topics - Virtual finance, List of finance topics - The History of finance, List of finance topics - Financial software tools, List of finance topics - Finding related topics Read more here: » List of finance topics: Encyclopedia II - List of finance topics - Financial regulation |
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| | | | Bond duration: Encyclopedia II - List of finance topics - Financial regulation
List of finance topics - Designations and accreditation.
Certified Financial Planner
CFA Institute
Chartered Financial Analyst
Chartered Financial Consultant
Canadian Securities Institute
Independent Financial Adviser
List of finance topics - Fraud.
Insider trading
Legal Origins Theory
Petition mill< ...
See also:List of finance topics, List of finance topics - Fundamental financial concepts, List of finance topics - Accounting financial records, List of finance topics - Institutional setting, List of finance topics - Financial services companies, List of finance topics - Banking terms, List of finance topics - Financial regulation, List of finance topics - Designations and accreditation, List of finance topics - Fraud, List of finance topics - Industry bodies, List of finance topics - Regulatory bodies, List of finance topics - United States legislation, List of finance topics - Financial markets, List of finance topics - Market and instruments, List of finance topics - Equity market, List of finance topics - Bond market, List of finance topics - Money market, List of finance topics - Commodity market, List of finance topics - Derivatives market, List of finance topics - Valuation, List of finance topics - Discounted cash flow valuation, List of finance topics - Relative valuation, List of finance topics - Contingent claim valuation, List of finance topics - Corporate finance, List of finance topics - Investment management, List of finance topics - Personal finance, List of finance topics - Public finance, List of finance topics - Insurance, List of finance topics - Economics and finance, List of finance topics - Mathematics and finance, List of finance topics - Time value of money, List of finance topics - Financial mathematics, List of finance topics - Constraint finance, List of finance topics - Virtual finance, List of finance topics - The History of finance, List of finance topics - Financial software tools, List of finance topics - Finding related topics Read more here: » List of finance topics: Encyclopedia II - List of finance topics - Financial regulation |
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| | | | Bond duration: Encyclopedia II - List of finance topics - Valuation
List of finance topics - Discounted cash flow valuation.
Cash flow
Cash flow from operating activities
Operating cash flow
Time value of money
Present value
Future value
Actualization
Discounting
Bond valuation
Yield to maturity
Duration
Convexity
Equity valuation
Equivalent Annual Cost
Net present value
Discount rate
Capital Asse ...
See also:List of finance topics, List of finance topics - Fundamental financial concepts, List of finance topics - Accounting financial records, List of finance topics - Institutional setting, List of finance topics - Financial services companies, List of finance topics - Banking terms, List of finance topics - Financial regulation, List of finance topics - Designations and accreditation, List of finance topics - Fraud, List of finance topics - Industry bodies, List of finance topics - Regulatory bodies, List of finance topics - United States legislation, List of finance topics - Financial markets, List of finance topics - Market and instruments, List of finance topics - Equity market, List of finance topics - Bond market, List of finance topics - Money market, List of finance topics - Commodity market, List of finance topics - Derivatives market, List of finance topics - Valuation, List of finance topics - Discounted cash flow valuation, List of finance topics - Relative valuation, List of finance topics - Contingent claim valuation, List of finance topics - Corporate finance, List of finance topics - Investment management, List of finance topics - Personal finance, List of finance topics - Public finance, List of finance topics - Insurance, List of finance topics - Economics and finance, List of finance topics - Mathematics and finance, List of finance topics - Time value of money, List of finance topics - Financial mathematics, List of finance topics - Constraint finance, List of finance topics - Virtual finance, List of finance topics - The History of finance, List of finance topics - Financial software tools, List of finance topics - Finding related topics Read more here: » List of finance topics: Encyclopedia II - List of finance topics - Valuation |
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| | | | Bond duration: Encyclopedia II - List of finance topics - Mathematics and finance
List of finance topics - Time value of money.
Present value
Future value
Discounting
Net present value
Internal rate of return
Annuity
Perpetuity
List of finance topics - Financial mathematics.
Probability
Probability distribution
Binomial distribution
Log-normal distribution
Expected value
Value at risk
Risk-neutral measure
See also:List of finance topics, List of finance topics - Fundamental financial concepts, List of finance topics - Accounting financial records, List of finance topics - Institutional setting, List of finance topics - Financial services companies, List of finance topics - Banking terms, List of finance topics - Financial regulation, List of finance topics - Designations and accreditation, List of finance topics - Fraud, List of finance topics - Industry bodies, List of finance topics - Regulatory bodies, List of finance topics - United States legislation, List of finance topics - Financial markets, List of finance topics - Market and instruments, List of finance topics - Equity market, List of finance topics - Bond market, List of finance topics - Money market, List of finance topics - Commodity market, List of finance topics - Derivatives market, List of finance topics - Valuation, List of finance topics - Discounted cash flow valuation, List of finance topics - Relative valuation, List of finance topics - Contingent claim valuation, List of finance topics - Corporate finance, List of finance topics - Investment management, List of finance topics - Personal finance, List of finance topics - Public finance, List of finance topics - Insurance, List of finance topics - Economics and finance, List of finance topics - Mathematics and finance, List of finance topics - Time value of money, List of finance topics - Financial mathematics, List of finance topics - Constraint finance, List of finance topics - Virtual finance, List of finance topics - The History of finance, List of finance topics - Financial software tools, List of finance topics - Finding related topics Read more here: » List of finance topics: Encyclopedia II - List of finance topics - Mathematics and finance |
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| | | | Bond duration: Encyclopedia II - List of finance topics - Financial markets
List of finance topics - Market and instruments.
Capital markets
Securities
Financial markets
Primary market
Initial public offering
Aftermarket
Free market
Bull market
Bear market
Bear market rally
Market maker
Dow Jones Industrial Average
Nasdaq
List of ...
See also:List of finance topics, List of finance topics - Fundamental financial concepts, List of finance topics - Accounting financial records, List of finance topics - Institutional setting, List of finance topics - Financial services companies, List of finance topics - Banking terms, List of finance topics - Financial regulation, List of finance topics - Designations and accreditation, List of finance topics - Fraud, List of finance topics - Industry bodies, List of finance topics - Regulatory bodies, List of finance topics - United States legislation, List of finance topics - Financial markets, List of finance topics - Market and instruments, List of finance topics - Equity market, List of finance topics - Bond market, List of finance topics - Money market, List of finance topics - Commodity market, List of finance topics - Derivatives market, List of finance topics - Valuation, List of finance topics - Discounted cash flow valuation, List of finance topics - Relative valuation, List of finance topics - Contingent claim valuation, List of finance topics - Corporate finance, List of finance topics - Investment management, List of finance topics - Personal finance, List of finance topics - Public finance, List of finance topics - Insurance, List of finance topics - Economics and finance, List of finance topics - Mathematics and finance, List of finance topics - Time value of money, List of finance topics - Financial mathematics, List of finance topics - Constraint finance, List of finance topics - Virtual finance, List of finance topics - The History of finance, List of finance topics - Financial software tools, List of finance topics - Finding related topics Read more here: » List of finance topics: Encyclopedia II - List of finance topics - Financial markets |
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| | | | Bond duration: Encyclopedia II - Bond duration - Modified duration Modified duration is calculated as follows:
where r is the yield to maturity of the bond, and n is the number of cashflows per year.
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See also:Bond duration, Bond duration - Price, Bond duration - Cash Flow, Bond duration - Macaulay duration, Bond duration - Modified duration, Bond duration - Embedded options and effective duration, Bond duration - Convexity, Bond duration - Average duration, Bond duration - PVO1, Bond duration - Lists Read more here: » Bond duration: Encyclopedia II - Bond duration - Modified duration |
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