Questions tagged [duration]

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Yield Curve Volatility

Let you have several issuers, and let each issuer have its yield curve built up with liquid plain vanilla fixed rate bonds. Each yield curve has its slope and its curvature, and they obviously change ...
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0answers
203 views

Duration adjusted credit spread

I am currently reading two policy papers that construct, for a fixed-income bond, a following credit spread: This one, p. 12, computes the yield to maturity minus the Overnight Index Swap (OIS) rate ...
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0answers
290 views

Calculate tenor wise DV01 of a Swap in Quantlib Python, i.e. Key-rate Duration

Is there a way I can get DV01 breakup of a Swap across different tenors of the deal in Quantlib-Python. The question asked here, follows the basic method of re-valuing the swap by shifting the curve ...
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0answers
304 views

Modified duration and convexity of a bond in R

A soft question: Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with ...
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0answers
588 views

Modified duration in multi-currency portfolio

I was thinking about how to figure aut duration for portfolio of bonds denominated in different currencies… I would like to compare sensitivity of portfolio to shift of yield with competitive ...
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1answer
72 views

MBS Market Duration & Convexity

Soft question...hopefully. I am working on a swaption hedging strategy. Part of this strategy calls for a forward looking indication of changes in implied volatility, using 1m10y implied as a proxy ...
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0answers
63 views

Duration and yield

I have some basic questions about mainly duration and yield. 1) Almost no-one defines what yield they are talking about when talking about duration and discount rate, I've seen some talk about ...
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0answers
49 views

Effective duration and recalibration

I am calculating the effective duration of an interest rate instrument with optionality. I do the following calibrate an interest rate model to market data: discount curve and ATM swaption vols use ...
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0answers
93 views

Spread Duration weighted OAS vs. Mkt Cap Weighted?

I am curious what the differences might be in rolling up OAS spreads across a portfolio by duration weighting vs. mkt cap weighting. @Alex yes I meant S.D. weighted not Duration weighted
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0answers
133 views

Duration of a FRN in continuous time interest rate model

This question was inspired by my attempt to understand the duration of a floating rate note, or FRN for short. Several answers, like this, say the duration of a FRN is just time to next coupon payment....
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0answers
122 views

What is relation between option adjusted duration and volatility

I am calculating oasd using implied vol of 15%. What is relation between OASD vs Implied volatility in theory for various maturities. I am running using MMD curve. If anyone recommend any good ...
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0answers
46 views

How to estimate bond price returns via an index?

Let's say I have a corporate bond, for which I know current yield, modified duration, coupon and maturity. I want to estimate how it would have performed under certain market conditions by looking at ...
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0answers
531 views

Duration of callable zero coupon bond

Can anybody please help me out with the below question with a brief explanation:- A 10-year zero coupon bond is callable annually at par (its face value) starting at the beginning of year 6. Assume a ...
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0answers
83 views

Bond Duration with Bond portfolio returns

if I have given CRSP bond portfolio returns with different maturities (1m-12m, etc), how is it possible to compute the Future price and the duration? Beside that I do also have the Nelson-svensson-...
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0answers
210 views

Bond Convexity: Relationship between discrete and continuous interest rate

The interest rate risk of a bond price $P$ is measured by its Duration: $$D=-\frac{\frac{dP}{P}}{dr}$$ However, the explicit formula for the Duration given a function $P$ is different if $r$ is ...
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27 views

Annuity Duration Based on Closed Derivative is half of Effective Duration?

I am analyzing an annuity with a stub. I calculate the effective duration as (P(-10bps) - P(+10bps))/(2*Principal * (.001)) I then take the derivative of the standard annuity formula discounted by ...
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134 views

How do bond futures affect effective rate when used to hedge a bond's duration?

I'm trying to wrap my head around what happens to the net interest received when an invester goes short a bond future to fully hedge the duration of his long position in an actual bond. Does it ...
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46 views

Wave Method and Implied Duration

I am pricing an MBS under three different rate scenarios: a base case, +5bps and -5bps I compute partial durations on the base case using the wave method (P. Hagan: Calculating Delta Risks and Hedges ...
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0answers
80 views

Macaulay Duration Calculation on LIBOR/Swap term structures

I'm a bit confused as to how to use the Macaulay Duration Calculation method to calculate the duration of a swap in which the rates for both paying and fixed change every six months (LIBOR/Swap Term ...
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2answers
587 views

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond ...