Thank you for the informative video. Note: M5 is YTM for zero coupon bond = spot rate. If YTM is not for zero coupon bond, it can’t be use as spot rate to calculate D5.
Hi, I have a small doubt that in case of Parallel shift in curve if the yield increase by 50 bsp then such increase will affect the yield curve equally, but in case of Non parallel shift in yield curve if the yield increase by 50bsp at period 1 then the new yield for period 2 and onward is changing by what rate? I mean how you calculated the new yield?
Hi! Kannst du mir sagen wie du in excel den non-parallel shift hinbekommen hast wenn du in der Spalte N9 die 50 Basispunkte eingegeben hast? Also wie bastelt man den abnehmenden Zins? Vielen Dank!
G10 is not Modified Duration. it is Macaulay Duration.
Thank you for the informative video. Note: M5 is YTM for zero coupon bond = spot rate. If YTM is not for zero coupon bond, it can’t be use as spot rate to calculate D5.
this is the best explanation till date. I hope you have other similar vedios on Fixed Income
very helpful to understand this concept
I think if you can more such videos, it can help a lot of students.
Nice and easy! La hiciste hermosa.
amazing video
very well explained !!!
Amazing.. Thanks a lot
thanks for the video. could you please explain a possiblity of s negative key rate duration when the coupon rate is below the par curve.
This is exactly the question.. answer of question which I am searching...can you help me here
Amazing tutorial
amazing! thank you!
Your calculation of Key Rate Duration is wrong. You were using Macaulay duration for G10.
Well explained...but I think you mistook Modified Duration for Macaulay Duration. But an interesting one in all respect
If I find key rate duration of my portfolio with 10 bonds is 2.50..and 3yr rate if forecasted to increase in short term..what decision should I make
Hi,
I have a small doubt that in case of Parallel shift in curve if the yield increase by 50 bsp then such increase will affect the yield curve equally, but in case of Non parallel shift in yield curve if the yield increase by 50bsp at period 1 then the new yield for period 2 and onward is changing by what rate? I mean how you calculated the new yield?
Same doubt
Hi! Kannst du mir sagen wie du in excel den non-parallel shift hinbekommen hast wenn du in der Spalte N9 die 50 Basispunkte eingegeben hast? Also wie bastelt man den abnehmenden Zins? Vielen Dank!
Please make more videos 🙏🙏🙏
Sum of weighted CFs * N = Mac.Dur, not Mod.Dur.
Mod.Dur = Mac.Dur / (1+r)
Very helpful. Thank you