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Ryan, I really enjoy our content really bring to life the topics cover in CFA. in this topic I only make one adjustment. When you are calculating the duration, you are calculating the Mac Duration. One additional adjustment is calculate the YMT for the original curve, then calculate the Duration= Mac Dur/ (1+YTM). And the hole point about calculating Duration is to estimate the impact on Price of a bond without the actual calculation. So for the test consistency for your calculation, the real calculation (column J8) need to be very closer to the x% expected shift yield curve multiply by Duration multiply by the original present value of column f. Calculating the impact on present value of a bond without the adjustment for YTM can be very different from the real calculation.
Hi Ryan, thx for sharing your models with us; just a minor comment regarding KRDs; it seem you have a 'sumproduct' calculation in cell C10, rather than the KRD calculation presented in the formula on the left, where KRD = [P_ + P+ / 2*0.01*P0]
Hey Hernan, this video actually used to be longer and I did a calculation in a way that I believed to be incorrect so I ended up cutting that part of the video which had that incorrect sumproduct formula
Hi Ryan, This was very clearly explained, but I'm still a bit confused. I thought Key Rate Duration was the duration at a key rate, that is, the 3 year rate or the 2 year rate. So the 2 year Key Rate Duration is XYZ, showing investors what a change to the 2 year spot rate would be to the bond. But you have explained it as an entire curve-concept. Or am I misunderstanding? Thanks!
Hey Chris, I think for most intents and purposes (most tests or classes) they will be referring to Key Rate Duration as as just a single rate like you mentioned. That is likely the extent of the concept you'll need to understand if you were watching this video for a test or certificate I'd imagine
@@RyanOConnellCFA KRD = sumproduct of adjustment with Period*Weight, it does NOT look right. You should use PV in F5 as the original and get a new PV with Shifted Curve for KRD
💾 Download Free Excel File:
► Grab the file from this video here: ryanoconnellfinance.com/product/microsoft-excel-template-for-key-rate-duration-key-rate-shifts/
🔑 Join this channel to get access to perks & support my work: th-cam.com/channels/Akyj2N9kd0HtKhCrejsYWQ.htmljoin
What happened to your website
Hell, are you not able to access my site? It should be working fine
THANK YOU, RYAN!!! I've had difficulties visualizing this topic from online resources but your videos have really helped me
Happy to help!
You're an amazing teacher! I couldn't thank you enough. Your videos on Fixed Income subject area helped me a lot.
You are so welcome! Really happy to hear it
Wonderful video. Im so thankful that I can watch it for free. Thank you Ryan
Thank you for watching and for taking the time to leave a nice comment
This was a very straightforward and helpful explanation. Thank you Ryan!
Thank you for the positive feedback James!
Thank you Ryan for explaining this. Really helpful!
My pleasure Tina!
You explain so well, you are smart
Thank you Ramses, it is more about having spent lots of time on the topics rather than being smart haha
Ryan, I really enjoy our content really bring to life the topics cover in CFA. in this topic I only make one adjustment. When you are calculating the duration, you are calculating the Mac Duration. One additional adjustment is calculate the YMT for the original curve, then calculate the Duration= Mac Dur/ (1+YTM). And the hole point about calculating Duration is to estimate the impact on Price of a bond without the actual calculation. So for the test consistency for your calculation, the real calculation (column J8) need to be very closer to the x% expected shift yield curve multiply by Duration multiply by the original present value of column f. Calculating the impact on present value of a bond without the adjustment for YTM can be very different from the real calculation.
Thank you for the contribution Alan, really appreciate it! It will be helpful for others to read about the nuances of the concept in your comment
Yesssss you uploaded!!
Your avatar is amazing Josh! I finally got back on the video grind and have been uploading 2 videos per week. Going to try to stay very consistent now
Thank you! that was really helpful
It is my pleasure!
Hi Ryan, thx for sharing your models with us; just a minor comment regarding KRDs; it seem you have a 'sumproduct' calculation in cell C10, rather than the KRD calculation presented in the formula on the left, where KRD = [P_ + P+ / 2*0.01*P0]
Hey Hernan, this video actually used to be longer and I did a calculation in a way that I believed to be incorrect so I ended up cutting that part of the video which had that incorrect sumproduct formula
very well explained
You're welcome!
Amazing Video. Thank you very much Ryan.
Much appreciated Luis!
Hi Ryan, This was very clearly explained, but I'm still a bit confused. I thought Key Rate Duration was the duration at a key rate, that is, the 3 year rate or the 2 year rate. So the 2 year Key Rate Duration is XYZ, showing investors what a change to the 2 year spot rate would be to the bond. But you have explained it as an entire curve-concept.
Or am I misunderstanding? Thanks!
Hey Chris, I think for most intents and purposes (most tests or classes) they will be referring to Key Rate Duration as as just a single rate like you mentioned. That is likely the extent of the concept you'll need to understand if you were watching this video for a test or certificate I'd imagine
@@RyanOConnellCFA KRD = sumproduct of adjustment with Period*Weight, it does NOT look right. You should use PV in F5 as the original and get a new PV with Shifted Curve for KRD
What a nice gentleman, you are
I appreciate it Ramses!
Key rate duration of 7.67..how can you intepret it
I think of it as an overall measure of the ratio of how much the price will change for a given change in interest rates
Hello..I have a detailed query..can I mail you the same
Please feel free to send it to the email in the description Anoop
Mr, Iloveyou
Haha thank you!