tionally useful to help manage the risk inherent in a bond portfolio. The duration

Returns the Macauley duration for an assumed par value of $100. . For example

the prevailing market price for the bond. Table III shows the computations of

We explain the definition of Duration, provide a clear example of how it works

Example. 8% coupon bond matures in 20 years with a par value of $1000. .

Feb 19, 1998 . The duration measure for bonds is a invention that allows bonds of different . In

Indeed, this is exactly what we find in example 1. APPLICATION Rate . duration

Example 3. For the previous problem, what is the value of the bond's modified

The Bond Duration calculation lets you calculate the Macaulay duration and the

A bond's duration will determine how its price is affected by interest rate changes.

Duration) then the differences in value increase. If the Duration of our example

The duration is approximately the amount by which the price of the bond will fall

. is also the 4% bond's yield to maturity). What is the bond's duration? Macauley

For example, the six-year 6.1% coupon bond above had a yield to maturity of 10

For all bonds, duration is shorter than maturity except zero coupon bonds, whose

For example, if a bond has a duration of 5 years and interest rates increase by 1

(1) holds approximately. For example, if the duration is five years, then a one per

Jan 1, 2007 . cates how price-sensitive a bond or portfolio is. For example, the price of a bond

[ModDuration, YearDuration, PerDuration] = bnddury(Yield, CouponRate . .

The duration of a bond is the length of time between payments made by the

For example, consider a bond which matures in 20 years. If the coupon rate is 6.0

We explain the definition of Effective Duration, how it works and why it's an

What are the differnces between the term "Maturity" and > "Duration" means in

8. III. An example. Compare the price sensitivities of: Two-year 8% coupon bond

Oct 4, 2010 . Bond Duration Example. Duration measures your interest rate risk more precisely

Macaulay first developed the concept of bond duration, Duration basically . the

For example a bond that trades at par and goes to 102 when rates fall 1% and 99

Duration is a useful measure of a bond fund's sensitivity to changes in interest .

Bond Duration Example Message #4 Posted by Gene on 13 Dec 2001, 3:34 p.m.,

Example. Consider a 2-year bond with a 20% semi-annual coupon and a yield of

Duration is quoted as the percentage change in price for each given percent

Nov 2, 2011 . A 5-year corporate bond with a higher yield will have an even shorter duration.

where D1 and D2 are the durations of the two bonds. Example. Consider the

Present Values and Bonds. →Bond example: ∎ Par = 1000. ∎ Coupon = 5% =

Feb 17, 2005 . duration. Let's begin with a brief discussion of basic bond features . For example

Understanding Bond Duration. You may . Going back to our simple example,

Our example shows that if the bond's yield changed from 5% to 6%, the duration

For example, the price of a bond with an effective duration of two years will rise (

Example 1: Prices of 8% Coupon Bond (semi-annual payments). 8. Duration.

If a bond has a duration of 6 years, for example, its price will rise about 6% if its

Feb 23, 2012 . We'll look at some important factors of bond fund analysis, and then we'll . For

As an example, the duration of a bond with $1000 par value and a 7 percent

Given the relation between convexity and duration above, conventional bond .

Duration is a measure of the sensitivity of the bond price with respect to shifts in

Duration is stated in years. For example, a 5 year duration means the bond will

Bond Yields & Duration Analysis. Page 2. COMPUTING BOND YIELDS. Sources

114, This is the concept of duration. It is really sort of cool! 115. 116. 117, class

Short-term, intermediate-term, and long-term bond funds all have different

(assuming it has a coupon rate greater than zero) will have a Macaulay du- ration

Duration is the time it takes for an investor to be repaid the price for a bond by the

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