Livingston, Miles dan Lei Zhou, A. 2003. Highly Accurate Measure of Bond Price Sensitivity to Interest Rates, University of Florida.Livingstone and Zhou, A Highly Accurate Measure of Bond Price Sensitivity to Interest Rates, 2003
When building a bond portfolio, advisors consider so-called duration, which measures a bond's sensitivity to interest rate changes. Expressed in years, duration factors in the coupon, time to maturity and yield paid through the term. As interest rates started rising in 2022, many advisors opted...
and thus measures the second-order price sensitivity of a bond. Both measures can gauge the vulnerability of a bond portfolio's value to changes in the level of interest rates.
Chapter 7 interest rates and bond valuation 7.1 Bonds and Bond Valuation coupon（票面利息）-the ...
Duration is a measure o a bond’s sensitivity to interest rate changes. It is a numerical value, which corresponds to a number o years. Generally, the bigger the duration number, the more sensitive the bond is to interest rate changes. More speci cally, duration measures the amount by whic...
An accurate measure of callable bond price sensitivity to interest rates and passage of timedoi:10.1080/09720510.2008.10701327This paper explores a general mathematical expression for approximating the callable bond return in terms of passage of time and yield change. The callable bond can be ...
2、interset rate：可以简单理解成YTM（yield to maturity），出借方要求收到的回报对应的收益率 以上是...
Bond duration is also a measure of a bond's sensitivity to interest rate changes. Modified duration is the estimate of the price change of the bond for a 1% move in interest rates. However, the duration is only a linear approximation. Specifically, the duration is the first derivative of ...
The sensitivity of a bond's price to changes in interest rates is known as its duration. Is It Better to Buy Bonds When Interest Rates Are High or Low? In general, you'll make more moneybuying bondswhen interest rates are high. When interest rates rise, the companies and governments issu...
Duration and convexity are two tools used to manage the risk exposure of fixed-income investments.Durationmeasures the bond's sensitivity to interest rate changes.Convexityrelates to the interaction between a bond's price and its yield as it experiences changes in interest rates. ...