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Fixed Income Analysis: Bond Duration, Day Count Convention, Bond Valuation, Hull-White Model, Bond Convexity, Vasicek Model, Yield

Fixed Income Analysis: Bond Duration, Day Count Convention, Bond Valuation, Hull-White Model, Bond Convexity, Vasicek Model, Yield


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About the Book

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Pages: 23. Chapters: Bond duration, Day count convention, Bond valuation, Hull-White model, Bond convexity, Vasicek model, Yield, Heath-Jarrow-Morton framework, Black-Derman-Toy model, Fisher equation, Yield spread, Yield to maturity, Chen model, Cox-Ingersoll-Ross model, Dirty price, Bootstrapping, Current yield, 30-day yield, Date rolling, Ho-Lee model, Clean price, Bond convexity closed-form formula, Bond duration closed-form formula, Nominal yield, Global bond. Excerpt: In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received. Duration also measures the price sensitivity to yield, the percentage change in price for a parallel shift in yields. The dual characterization of duration, as both the weighted average time until repayment and as the percentage change in price, often causes confusion. Strictly speaking, Macaulay duration is the name given to the weighted average time until cash flows are received, and is measured in years. Modified duration is the name given to the price sensitivity and is the percentage change in price for a unit change in yield. When yields are continuously-compounded Macaulay duration and modified duration will be numerically equal. When yields are periodically-compounded Macaulay and modified duration will differ slightly, and in this case there is a simple relation between the two. Modified duration is used more than Macaulay duration. Macaulay duration and modified duration are both termed "duration" and have the same (or close to the same) numerical value, but it is important to keep in mind the conceptual distinctions between them. Macaulay duration is a time measure with units in years, and really makes sense only for an instrument with fixed cash flows. For a standard bond the M...


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Product Details
  • ISBN-13: 9781155194028
  • Publisher: Books LLC, Wiki Series
  • Publisher Imprint: Books LLC, Wiki Series
  • Height: 246 mm
  • No of Pages: 24
  • Spine Width: 1 mm
  • Weight: 64 gr
  • ISBN-10: 1155194020
  • Publisher Date: 10 Oct 2011
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Sub Title: Bond Duration, Day Count Convention, Bond Valuation, Hull-White Model, Bond Convexity, Vasicek Model, Yield
  • Width: 189 mm


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