I absolutely love your tutorials. I'm terrible at reading formulas; your examples help me understand them.
@Mike-uz9hs
9 жыл бұрын
If not for these videos, I'd be spending an hour plugging in random numbers in the formula from my textbook LOL
@LeonMusicful
4 жыл бұрын
Hi, would you please explain where the 0.5 comes from, from the first example? To calculate the time^2 weighted PV, why add the 0.5? Why not simply time^2?
@bionicturtle
14 жыл бұрын
@Jakers2009 thanks! Just one clarification that is common source of confusion: the gradient (slope) at x is the "dollar duration" rather than duration (note i am careful to say dollar duration when referring to slope of tangent line). b/c duration = dy/dx*-1/P; i.e., "infected" by price. So, above, the gradient is actually -436.95, i.e., -$436 per 100% (1 unit) or ~$4.36 per 1% (rise/run)
@wymc88
Жыл бұрын
Could not find the spreadsheet
@wymc88
Жыл бұрын
What is the excel?
@Jakers2009
14 жыл бұрын
i think your videos are great - i also resolved my past confussion regarding the duration and the 1st derivative. I realised that the 1st derivative is the gradient function and that if you take the 1st derviative of any function and then substitute the values of the x-axis at any point on that function then you would get the gradient at that point.
@bionicturtle
14 жыл бұрын
@Jakers2009 Actually, technical correction to my previous reply: the gradient (slope) of the above tangent line at x = 5% is -426.3. That is the "dollar duration" such that the (modified) "duration" = -426 * -1/Price = ~4.458. And modified duration 4.458 = Mac duration / 1 + (y/k) = 4.57 / (1+5%/2); see @4:05
@nufcfromsg
2 жыл бұрын
Calculate the convexity for a three-year 3.5% coupon rate with a face value of $500,000 loan with amortised payments? How do I do this in excel or on paper?
@williamlee8514
2 жыл бұрын
Good video. You mentioned something about opening the spreadsheet. Where is the link to open it please? I just see a video. Thanks.
@Paata02
12 жыл бұрын
It's Great, thanks..I understood more than on lecture
@aakankshakhandelwal922
4 жыл бұрын
Cant find spreadsheet
@ne2514
6 жыл бұрын
the second method is sooooo helpful
@Fj8282haha
Жыл бұрын
Thx for video. Need ur help desperately! 1st, Can u say the convexity is a friend at current situation? assuming fed rate keep going up incrementally (ie 25bps) for a short of period of time. 2nd, is 1 yr or 10 yr treasuries more vulnerable to convexity based on the current situation? 3rd, is High yield or treasuries more resilient to increasing convexity? Many thx !
@bionicturtle
14 жыл бұрын
@Jakers2009 Yes, i hadn't tackled convexity yet....hard to do quickly, hope you like?
@Fj8282haha
Жыл бұрын
🎉🎉🎉
@jessicanutter6730
5 жыл бұрын
For the Convexity, I'm confused on how you quantified the errors in both the PVs and the convexity calculation. Also, if my bond has semiannual coupons, but I'm only given an annual effective yield, what yield should I be using in the convexity calculation?
@marcosg2201
9 жыл бұрын
APOLOGIES FOR MY BAD ENGLISH . I can not find the spreadsheet . I could help locate the spreadsheet ? thank you very much
@nutrisoyboy
12 жыл бұрын
Amazing videos! Keep it up dood!
@utkarshpande11
10 жыл бұрын
From what I understand, the dollar duration cannot be the actual slope of that tangent at that point as these are discrete values plotted at different pointers and for a true tangent, we need a continuous curve really. what is your take on the same sir?
@shaden746
3 жыл бұрын
how did you plot the graph?
@thiagosiqueira1450
12 жыл бұрын
Great job man, thanks for that! Just wondering if you could send me the spreadsheet or the link. cheers
Пікірлер: 25