Wie werden Duration und Konvexität bei variabel verzinslichen Anleihen bei der Interpretation und in Formeln berücksichtigt (festverzinslich, Zinskurve, Duration, Konvexität, variabler Zinssatz, Quant)?

What is effective duration vs modified duration?

While Effective Duration is a more complete measure of a bond’s sensitivity to interest rate movements versus the Macauley or Modified Duration measures, it still falls short because it is a linear approximation for small changes in yield; that is, it assumes that duration stays the same along the yield curve.

What is effective duration CFA?

The effective duration is defined as the sensitivity of the price of a bond against a change in a benchmark yield curve.

How do you calculate effective duration of a bond?

Effective Duration Formula

PV_– = Present value of expected cash flows if the yield falls by r basis points. PV₊ = Present value of expected cash flows if the yield increases by r basis points. BPS determines the slightest change in interest rate, to be precise. One basis point equals 1/100th part of 1%.