Thus a bond's duration is its percentage fall in price per 1% rise in interest rates.

A bond graph is a graphical representation of a physical dynamic system. It is

Apr 16, 2009 . This, of course, is an illustration of bond duration. . of the red line in the graph, or

k e t V alu e. Yield To Maturity. Convexity of Bond Curve. Bond Duration. We

Apr 9, 2012 . The shorter the bond duration the lower the yield. A two year bond may only yield

Convexity A measure ofthe change in a bond's duration that is a result of a

Moving in on the yield curve decreases average duration. The longer the bond,

Key rate duration measures portfolio sensitivity or bond's price sensitivity to

weight to the shorter-duration coupons than to the longer- duration principal. •

Aug 2, 2010 . This positions us to resume our discussion of bond duration with . or

One other important concept related to yields is the yield curve. This is a .

The duration approximation can be shown on a graph and compared to the

Oct 18, 2010 . The graph reveals that if the market yield for the bond were to rise to 4%, . It is

Analysis of Likely Yield Curve Shifts. 172. Summary. 172. References. 172.

The left side's y-axis measures the bond's price, from 0 to 2000. The right side's y-

Jan 1, 2007 . to consider, as bonds with higher durations . bonds with lower durations. It is an

Mar 24, 2010 . BOND DURATION Dynamic Chart Annual Percentage Rate.

However, for coupon bonds duration increases by less than a year with a year's

Jul 19, 2010 . I have previously written about the yield curve, convexity, and duration. Recall

Build the Bond Duration - Dynamic Chart model and use it to perform instant

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

The graph depicts the relationship between interest rates and bond prices – as

Feb 18, 2008 . Using a simple zero-coupon bond, I illustrate bond duration. . of price-yield

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

The departure of the price/yield curve from the linear line (which represents

Bond duration helps quantify an bonds sensitivity to interest rate shocks. . Chart

The duration of a bond, or a bond fund, is a measure of its . which is that if the

Bonds with higher duration carry more risk, making this measure an important

Dec 3, 2009 . Dynamic Chart 30. Annual Percentage Rate Dynamic Chart of Bond Duration. 0

Apr 2, 2012 . To show the relationship between these two concepts, the graph below plots RSI

Mar 21, 2002 . In the analysis of bond yields, it is common to see graphs where the X-axis and Y

information contained in the graph, students are asked to determine the duration

An understanding of duration leads us to the concept of convexity. If we were to

Calculate Macaulay duration and modified duration for a 5-year bond selling to .

The yield curve is simply a graph of what benchmark bonds such as U.S. . rates

investor purchased at par, or 100, a newly issued 5-year bond that has duration

If we graph a tangent at a particular price of the bond (touching a point on the

The modified duration of a bond is a measure of its price sensitivity to interest .

While effective duration is a critical tool in portfolio analysis and risk . relevant

6) Advanced Bond Concepts: Duration. 7) Advanced Bond Concepts: . The

Conclusion. Chapter 5: Relationship Between Price, Yield and Duration. If you

Learn about fixed income concepts, including the yield curve and duration. . risk/

Duration assesses exposure to parallel shifts in the spot curve. . Hence, based

Does the answer depend on whether the bond is selling for a premium or a

The duration of a bond gives a direct measure of the sensitivity of the bond to .

A 30-year bond's duration, on the other hand, hardly responds to a single year's

Duration, Convexity and Bond Price Volatility. With the federal funds rate at

Aug 19, 2008 . Bond Convexity is a direct measure of the duration sensitivity of a bond . For any

Convexity is the rate of change of duration, as yields change. Graphically,

Oct 4, 2010 . The graph above demonstrates the impact that duration has on the sensitivity of

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