Exécution de notre outil de synthèse sur un nouvel article

Résumé : This chapter elaborates the sensitivity of bond prices to changes in market interest rates or yields, and describes how to calculate the measures such as Macaulay's duration and modified or adjusted duration, and at their interrelationships. In addition, duration measures are approximations, and for large changes in market yields, they can become increasingly inaccurate. This is because the relationship between bond price and yield is not linear. The author in this chapter presents practical applications of duration in portfolio management. It illustrates how duration can be used to create a portfolio of bonds matching future payment obligations, and how to construct a duration-based hedge against the effects of changes in interest rates on a bond portfolio. Furthermore, the price of low coupon, long maturity bonds is highly sensitive to changes in market yields. This is because most of the cash flows occur far out into the future and cannot be reinvested at new levels of interest rates for a long time.