# Tag Info

• 14.1k

### How can a deep discount bond with a longer time to maturity have a LOWER duration than an otherwise identical bond with a shorter time to maturity?

It's a very good question. This is also mentioned in "Bond Math: the theory behind the formulas" - but the author doesn't get into a lot of details, he just mentions it as some kind of a ...

### How can a deep discount bond with a longer time to maturity have a LOWER duration than an otherwise identical bond with a shorter time to maturity?

Probably easier to see with the $Dur, which can be expressed as follows (assuming principal=1):${\rm Dur}=\frac{c}{y^2}\left(1-{\frac { yT+y+1}{ \left( 1+y \right)^{T+1} }}\right)+\frac{T} {\left( ...

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

Recall that duration is defined as the average time to receive the cashflow, with the weights being the present values of the cashflows. So when interest rates rise very high, the long dated ...
• 14.3k
Accepted

### A question on immunization and Macaulay duration

Duration is not linear. It is the weighted average of the duration of the underlyings with the weightings being their values. To get a linear system multiply the durations by the associated pvs and ...
• 6,763

### Why is 'duration' not the same as 'spread duration' for risky bonds

Adding to the answer of Tim: If you consider a fixed-rate bond then IR-duration and spread-duration have the same effect on the bond. For a floating-rate bond, on the other side, you have IR-risk ...
• 13.3k

### Can two bonds have same yield and price but different convexity?

To directly answer the question: bond A= one day to maturity , price 100, yield 2%. Bond B: 10 years to maturity, price 100 yield 2%. This is perfectly possible. Bond B has greAter convexity but ...
• 14.3k