Bond Yields, Duration, Convexity, and DV01
Free GARP FRM Part I lesson in Valuation and Risk Models. 20 min read, ~3,040 words.
Yield to maturity (YTM) is the discount rate that equates a bond's price to the present value of its cash flows. A single rate that summarizes the entire spot curve as it applies to that bond. Macaulay duration is the weighted-average time to receive cash flows. Modified duration = Macaulay...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
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