Skip to content

Bond Duration Definition and Formula

July 16, 2012
  • The estimate of the percentage price change for a 100 basis point change in yield.
  • (price if yields decline – price if yield rises) / (2 * initial price * change in yield in decimal)
Advertisements

From → Asset Valuation

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: