Computing modified duration (for the @CFA Level 1 exam)
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- เผยแพร่เมื่อ 28 พ.ย. 2024
- Computing modified duration (for the @CFA Level 1 exam) explores the steps needed to calculate modified duration for a coupon-payng bond with a given YTM (yield to maturity).
MM student here and hes amazing. but this explanation was something i needed at the moment. thank you so much and hats off to you man
Hes nothing compared to this legend
now i can tell my mom that i watch useful youtube
This class is completely for students. It looks like the photo was taken with the board completely turned to the mirror.
The image is flipped horizontally in post-production
amazing and clear explanatons , a personal request if possible, I have my exam in February, and i am struggling with the topic of derivatives, would it be possible to do an explaination on that topic, apologies for the urgency. Thanks
Hello Ishaan, thank you for writing. I really appreciate your comment and suggestion. I have just completed my January recordings in the studio and unfortunately, will not be back until early March :( In the meantime I will just be uploading the content already recorded which has recently been focused on Deferred Tax and more Quantitative Methods. So, I will unfortunately not manage to record or release anything on Derivatives before your exam date.
I nevertheless hope you will manage to clear the exam!
Derivatives has already been suggested as a topic for future videos and I will certainly start covering it in the Spring.
Take care and keeping my fingers crossed for you!
@@letmeexplaincfa thanks a lot for your detailed response. Looking forward to all the new videos.
Hi, thanks for the video it was very clear! one question, what if the YTM changes on each payment, which YTM should I be using to compute the modified duration?
Hi, you use the YTM which exists at the time you are performing the valuation, based on the bond's current price.
Hi Wojciech, do you think you could add also some videos with some exercises in the Maturity structure of interest rates topic? :)
Yes, I will surely do some after the Summer holidays :)
Fantastic video, really useful, thank you so muchh, but could i ask you that if coupon pay semiannual, we will do the same but with double period right
Thank you very much :) If the bond pays semi-annual coupons you would need to follow a similar approach, but have the periods as 0.5, 1.0, 1.5, 2.0 ... and so on, to reflect the semi-annual nature of the cash flows.
Why don't we use TI BA II PROFESSIONAL version of calculator that you already have to calculate modified duration?
I wanted to show the mechanics of the computation, but you are right - I may do this in a future video👍 thanks
My “dur” was not shown for my BAII after “ AI”. Do you know what’s wrong with my BA II?
The student version of the calculator does not compute duration. Don’t worry, I always had the student version as well and it never hurt me😉 you will probably have to interpret and use duration as opposed to actually having to calculate it.
The student version of the calculator does not compute duration. Don’t worry, I always had the student version as well and it never hurt me😉 you will probably have to interpret and use duration as opposed to actually having to calculate it.
Is it possible to calculate this faster using the calculator
Yes, please see previous video on Macaulay duration where I show the process
Is there any chance that we will get questions like this on exam?
The relevant Learning Outcome Statement uses the verbs: define, calculate and interpret Macaulay Duration, so, I guess the answer is a YES