November 2013

In this lecture we discuss the importance of Macaulay’s Duration, particularly to anyone holding large bond portfolios. In passing, we show how and why zero coupon bonds have a duration identical to their maturities, and why the anticipated directional moves of interest rates are so critical to bond traders and pension fund managers.

We also introduce the Excel ‘PV’ (Present Value) function for pricing bonds.

The full YouTube playlist of Securities Investment 101 lecture videos can be found by clicking here.

Please read our disclaimer.

{ 0 comments }

Before we delve deeper into the mysteries of duration and convexity, now is a good opportunity to actually calculate duration, at least in its form as an average weighted cashflow period, known as Macaulay’s Duration. We do this both the long way, from first principles, and by using Excel’s built-in ‘DURATION’ command.

The full YouTube playlist of Securities Investment 101 lecture videos can be found by clicking here.

Please read our disclaimer.

{ 0 comments }

Introducing Duration, Lecture 020, Securities Investment 101

November 22, 2013

In the first of a series of videos, we begin to delve into the complex subjects of bond duration and bond convexity. This first lecture begins to introduce the topic of duration and why we need it to anticipate bond price changes after expected (or unexpected) changes in required market interest rates. Previous video, Money […]

Read the full article →