AuthorTopic: computing bond duration
@2015-11-05 12:33:44
In the CFA Center notes for Session 15 LOS B.g, we are given the following formula:

Duration = (Price if yields decline - Price if yields rise)/ (2 x initial price x change in yield in decimal)

Is this correct? I can't figure out how to read the formula and I don't have the Fabozzi textbook.
@2015-11-09 14:00:19
That's correct. You should practice these 4 basic questions for that los to better understand the formula.
@2015-12-05 12:00:40
Thanks. The practice questions really did help to make it clearer.
@2016-02-09 00:31:38
Also remember the convexity formula:

( Price when yield decline + Price when yield rise - 2 * Price with no change in yield ) / ( Price with no change in yield * squared change in yield )

The formula to calculate change in price when you have duration and convexity data:

Price change (%) = - duration * change in yield(%) + 0.5 * convexity * squared change in yield(%)

CFA Discussion Topic: computing bond duration

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Craig Baugh