# Questions tagged [duration]

The tag has no usage guidance.

150 questions
Filter by
Sorted by
Tagged with
40 views

### Modified duration with zero-coupon bond yields

I want to calculate the modified duration for a series of non-fixed cashflows (monthly). I have a series of monthly discount factors. To do this I have been calculating the Macauley duration as ...
67 views

• 368
34 views

1 vote
230 views

### Are there names from the third term onwards in the Taylor approximation for bond pricing?

The first terms are duration and convexity, but are there common names for the terms beyond this?
• 11
1 vote
817 views

### Is duration of a bond a convex function?

I understand that in general, the NAV of a bond is a convex function. However, I am not too sure if the same can be said for its duration. Are there references on this? Thanks
• 341
1 vote
70 views

### Modified Duration as interest risk [closed]

I am new to bond pricing and I am studying the sensitivity measures of a bond (with discrete compounding) and even though I understand the mathematical concepts of modified duration and convexity ...
738 views

### ATM interest rate swap dv01 vs off-market swap dv01

How significant is impact on dv01 of an at-the-money swap if rates move significantly? For example: lets say a 5Y USD at the money swap has 4.6 duration. now, if the rate curve move by 150-200bps, ...
• 233
265 views

### Macaulay Duration - Liability matching

Can someone provide a detailed example to prove the following statement: "When the investment horizon is equal to the Macaulay duration of the bond, coupon reinvestment risk offsets price risk.&...
• 23
267 views

### Bond value as a function of spread change and duration/maturity

I am trying to calculate the change of value in a universe of bonds given a series of shocks to the credit spread of each bond. As a constraint, the initial dataset only contains the spread change for ...
• 1,471
191 views

### Formula to calculate the sensitivity of a bond to curve steepening

https://github.com/jerryxyx/TreasuryFutureTrading/blob/master/README.pdf On page 2 of the pdf above, the sensitivity of a bond to increases in the slope of the curve, is given as $\ln(T)$, where $T$ ...
• 879
319 views

### Convert spreads to prices for bonds via duration

I have the price of a bond and would like to convert it to spreads. Is this possible by just having dollar duration? Secondly, if I just care about the relative spreads of multiple bonds, is it enough ...
• 113
707 views

### "The five year swap has the same dv01 as a par five year treasury bond" Why?

Am reading a book (The Complete Practitioner's Guide to the Bond Market by Steven Dym, 2009) where the author gives an example of someone buying a 5 year par 4.65% treasury and someone else entering ...
• 119
212 views

### What is the definition of horizon current coupon spread duration

Trying to understand the meaning of current coupon spread duration? Is this same as empirical mortgage spread duration?
• 119
1 vote
184 views

### Calculate the duration of group of Bond ETFs

Is it correct to get the weighted average of a bunch of bond ETFs to get the duration? Is it theoretical correct to say that. I have 6M AGG (duration 8.39), 30M BND (duration 8.7), 60M SHY (duration 1....
90 views

### Duration and convexity of an open term loan/bond!

Imagine an open term loan with monthly interest payments of [x]% and the principle due when the loan is closed. Both the lender can call the loan, and the borrower can return the loan (with no penalty)...
95 views

### Floating rate bond valuation and Duration

I would like to know how a floating rate bond will be valued when LIBOR is used to compute the coupon cashflows and the bond is discounted using an OIS rate. Normally I have seen valuation of a FRB ...
166 views

### Hedging Curve Risk with Futures

Please help confirm/correct my understanding of hedging curve risk using futures. For example, if I purchased a 9y bond and hedged the duration risk (parallel shift) by shorting 10y treasury futures ...
1k views

### Does credit default swaps have interest rate duration and credit duration?

Will a CDS have interest rate duration and credit duration? It does seem likely that the value of the CDS would depend on the underlying interest rate, or the spread. But when I try to Google this I ...
• 125
157 views

### Spread duration curve by issuer or by sector

I was surprised to see that spread duration was not offered as a curve in Bloomberg. As a result, I'm trying to find a curve (in Bloomberg) or build a curve (maybe using the Excel API) which ...
• 11
1k views

### Duration of Floating rate bond

I have read in several places that the duration of a floating rate bond is simply the time until next coupon payment, because the upcoming coupon payments are not known. I have 2 questions here: Why ...
159 views

### Bond Future and Bond Yield relation

I recently read, that yield changes during a short time window can be approximated by dividing the returns of futures on the bond by its Duration. Has anybody heard this before and can shed some light ...
1 vote
279 views

• 111
1 vote
90 views

### Step-up bonds should be more, not less sensitive to market interest rates, shouldn't they?

I keep reading that "a step-up bond provides more protection to an investor in the face of market interest rate fluctuations", that "a step-up bond typically performs better than any ...
• 53