The Duration of a Bond (UMAP)

Author: Ho Kuen Ng

This module applies calculus and business mathematics to finance and investment analysis. The article introduces the concept of duration, which measures the volatility of bond prices due to interest rate change.

Table of Contents:

WHAT IS A BOND?

YIELD TO MATURITY
Exercises

PRICE VARIATION WITH INTEREST RATE
Exercises

DEFICIENCY OF THE MATURITY MEASURE

THE DURATION CONCEPT
Exercises

PROS AND CONS OF THE DURATION CONCEPT

WHAT HAPPENED IN SPRING 1987?

ANSWERS TO EXERCISES

REFERENCES