BFM Numericals Solved · Part 3: Treasury and ALM

Chapter 7: Duration

How far a bond’s price moves when yields move, and the single number a bank uses to measure it.

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

• 7.1Price and yield move in opposite directionsp. 143
• 7.2Duration: the balance pointp. 144
• Four 30-second routesp. 146
• 7.3Half-yearly G-secsp. 147
• 7.4Modified durationp. 148
• 7.5PV01: duration in rupeesp. 150
• 7.6Portfolio durationp. 151
• 7.7Duration gapp. 152
• 7.8Convexityp. 154
• 7.9What moves duration up or downp. 155
• Exam traps and conventionsp. 156
• Practice: 30 questions in three roundsp. 157
• Answers, with every wrong option explainedp. 160
• Make it stick: mistake log, revision days, glossaryp. 163
• Chapter 7 on one pagep. 164

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.