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8 Cards in this Set
- Front
- Back
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What is a Macalay Duration formula ?
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Laufzeit der Null-coupon Anleige.
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Modifided Duratio Formula ?
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Maclay Duration / (1- VR)
where VR is periodic rendite. |
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What is a convexity of a bond ?
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As the Price / Yield relation for bonbd is not linier. If the yield increase by i , bond price falls and this persendual reduction of bond price is less then the persendual raise in the price when the yied falls by i. This is the effect of POSITIVE Convexity.
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When do a callable bond will experience a negative convexity ?
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when the yield is low. When the yield falls , and Bond issuer is paying a higher yield on the issued callable bond. most probable is thât bond may be called y issuer.
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What is the relation of Modified Duration and Effective Duration for a embaded option fre Bond ?
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Modified Duration is equal to Effective Duration.
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Three Interpretatoin of Duration ?
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1. Slope of the Price-yield Curve
2. Developt by Maclay. weighted avegare of time untill each cash flow will arrive. 3. Percentage chnage in the Price of bond in responce to 1% chnage in yield. |
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What is PVBP for a Bond ?
How do we calculate from duaration ? |
It is the Price Chnage of Bond when Yied changes 1 Basis Point.
In the form of Duration : PVBP = duration * 0.0001 * Bond Value |
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In which case Modified Duration and effective duration of the bond should be same ?
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When Bond has no embeded Option. Think for a valid reason.
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