Instructional Video: Applying Duration, Convexity, and DV01

Topic Progress:

Tuckman, Fixed Income Securities, Chapter 4: One‐Factor Risk Metrics and Hedges is a 58 minute instructional video analyzing the following concepts:

* Describe an interest rate factor and name common examples of interest rate factors.
* Define and compute the DV01 of a fixed income security given a change in yield and the resulting change in price.
* Calculate the face amount of bonds required to hedge an option position given the DV01 of each.
* Define, compute, and interpret the effective duration of a fixed income security given a change in yield and the resulting change in price.
* Compare and contrast DV01 and effective duration as measures of price sensitivity.
* Define, compute, and interpret the convexity of a fixed income security given a change in yield and the resulting change in price.
* Explain the process of calculating the effective duration and convexity of a portfolio of fixed income security.
* Explain the impact of negative convexity on the hedging of fixed income securities.
* Construct a barbell portfolio to match the cost and duration of a given bullet investment, and explain the advantages and disadvantages of bullet versus barbell portfolios

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