Macaulay Duration Annuity

FinCampus Lecture Hall - YouTube
We have also posted separate videos on Macaulay Duration and Modified Duration. Those videos go through the exact calculation of D and Dmod. You can ... View Video

Notation And Terminology Used For Exam FM/2
An annuity-due is an annuity where the payments are made at the beginning of each period. The present value of an annuity-due with n payments is denoted by a n Duration of a bond (or Macaulay duration) is the weighted average of the times of cash flows where the weight ... Fetch Doc

Bond Portfolio Management
Macaulay’s duration: A weighted average of the times of each payment made by the bond. The duration of an annuity is: The duration of a coupon bond equals: For coupon bonds trading at par this simplifies to: Title: Bond Portfolio Management ... Read Here

VALUATION OF FIXED INCOME SECURITIES - West African Institute ...
NAnnuity Concept - valuation with the same discount rate The present value of an annuity is equal to 1 - 1 Annuity payment X (1 + r)n r . STEP 3: DISCOUNTING THE CASH FLOWS nPresent Value Properties A Macaulay duration but duration increases at a ... Get Document

Financial Mathematics Exam—April 2012 - Be An Actuary
Annuity-immediate b. Annuity-due c. Perpetuity d. Payable m-thly, or Payable continuously e. Level payment annuity f Duration (Macaulay, modified and effective) e. Convexity f. Portfolio and investment year allocation methods g. Spot rate h. Forward rate ... Fetch Full Source

Bond duration - Wikipedia, The Free Encyclopedia
In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received. ... Read Article

MAP 4170 Name: Test 4 Date: August 1, 2012
Has Macaulay duration of 8 years using an annual effective interest rate of 9%. Bond B is a 10 year zero-coupon bond that can be purchased for 100 to yield 9%. A 20 – year annuity immediate has annual payments that increase by 5% each year. ... Access Full Source

Talk:Bond duration - Wikipedia, The Free Encyclopedia
Need example or formula for duration of multiple bonds . Please add a formula to calculate the duration for 2 or more bonds. The treats this with a generic statement that you should just list up all of the cash payments in date order and compute duration as a series of differeng payments. ... Read Article

Fin 525 Week 4 - Online Home Of Rigged: The Novel Of ...
Fin 525 Week 4 Treasury Bonds and Duration An Overview of the Bond Markets A bond is a promise to make periodic coupon payments and to repay principal at maturity—breech of this promise is an event of default Bonds carry original maturities greater than one year, so bonds are instruments of ... Fetch This Document

Exam 3, Syllabus - Casualty Actuarial Society
For annuity/cash flows with payments that are not contingent, define and recognize the definitions of the following terms: Calculate either Macaulay or modified duration given the other. e. Use duration and convexity to approximate the change in present value due to a change in ... Fetch Full Source

Week9 Homework Assignment Solution BKM Ch14
Macaulay duration = = + = years b. For option-free coupon bonds, modified duration is a better measure of the bond’s sensitivity to changes in interest rates. From Rule 6, the duration of the annuity if it were to start in 1 year would be: 5 4. 7255 ... Retrieve Here

Introduction 1
§3b Annuity-Immediate and Annuity-Due 108 §3c The Deceptively Simple s n Function 112 Calculator Notes #5: Basic Annuities 115 §9d Macaulay Duration 458 §9e Macaulay Duration as a Measure of Price Sensitivity 462 §9f Modified Duration 464 ... Access Document

Enrolled Actuaries Basic Examination EA-1
An annuity. On this examination the symbol " (11) The term “duration” means “Macaulay duration”. Exam EA-1: Spring 2011 – 1 – GO ON TO NEXT PAGE **BEGINNING OF EXAMINATION** Data for Question 1 (3 points) ... Fetch This Document

EA-1 Examination 05
An annuity. On this examination the symbol “ question seems too difficult (11) The term “duration” means “Macaulay duration”. Data for Question 1 (2 points) The present value of a 15-year monthly annuity-immediate is $20,600. ... Read Here

DBWG Response To NAIC Final
Rates increase, policyholders may be more likely to surrender their annuity or life insurance policies, 1.9 while the Macaulay duration is the same at 8.1. It can also be observed that a small increase in the ... Read Document

SENSITIVITY WITH RESPECT TO THE YIELD CURVE: DURATION IN A ...
Idea of an annuity as the sum of a geometric series, presented in a variety of flavors. We eschew these notions as being of scant academic interest, proximation to the Macaulay duration, or conversely, the Macaulay duration is a discrete ... Read Here

FinShiksha - Portfolio Duration - CFA Level 1 Concepts - YouTube
7:21 Macaulay Duration by finCampus Lecture Hall 1,571 views; 1:05:50 How to build a property portfolio empire - Chris Gray - CPA Australia Brisbane by Chris Gray 11,605 views; PV & FV of annuity Example - CFA Level 1 concepts by FinShiksha 50 views; ... View Video

Notation And Terminology Used For Exam FM 2011 - Be An Actuary
An annuity-immediate is an annuity where the payments are made at the end of each period. The present value of an annuity-immediate with n payments of 1, at interest rate i, is denoted by n a or n i a “duration” means Macaulay duration and ... Document Retrieval

Dedicated Portfolio Theory - Wikipedia, The Free Encyclopedia
He traces the origin of immunization to Frederick R. Macaulay Academic papers on immunization, duration, and dedication began to appear in increasing series of 8-year horizons of protected income over the investor’s entire lifetime and become the equivalent of a self-annuity. ... Read Article

Synthetic Instruments
And if the annuity amount is not critical and were relaxed to, say, $250,000 per half year, the yield pick-up determined synthetic durations yield the Macaulay duration precisely. A General Formula A general formula for creating synthetics is as follows: S = a ? ... Retrieve Document

Discounting And Bond Notation And Formulas
An = Value of an annuity at time period n (e.g. n = 0 =) today) cn = Arbitrary cash °ow in period n Vn = Value of an arbitrary security at time period n Formulas V0 = cN (1+i)N Present Value of a single cash °ow Macaulay Duration of a bond with price B ... View This Document

Interest Rate Risk Of Zero-coupon Bond Prices On Bombay Stock ...
In the pre-computer days of Macaulay, Duration was conceived as a short-hand method of estimating price volatility as the result of changes in market yield. (with annuity payment of interest and principal) with different year’s maturity between 1 ... Read Here

Exam FM/2 ReviewCash Flows, Portfolios, duration, & Immunization
Duration. Duration is a measure of time until cash flows, can be used to measure price sensitivity to changes in interest rates. Macaulay duration, or just duration ... Doc Retrieval