Bond Duration and the Price Value of a Basis Point (PVBP)

Bond Duration and the Price Value of a Basis Point (PVBP)

Lindsey Matthews

30 years: Risk management & derivatives trading

In this video, Lindsey covers the investment strategies in bonds and shows the risks and potential returns on these investments.

In this video, Lindsey covers the investment strategies in bonds and shows the risks and potential returns on these investments.

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Bond Duration and the Price Value of a Basis Point (PVBP)

10 mins 10 secs

Overview

When interest rates rise, fixed-rate bond prices move lower and vice versa. The longer the rate on an investment is fixed, the more its price moves with changes in interest rates. For bonds, how much a price changes is driven by how long the investment is fixed for.

Key learning objectives:

  • What is a bond’s duration?

  • How do you calculate the price difference of a bond given a 1bp change in yield?

  • What is PVBP?

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Summary
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Expert
Lindsey Matthews

Lindsey Matthews

Lindsey runs Perfordiant, an investment risk and performance consulting firm. He has worked in financial markets since 1992. Lindsey became an MD in fixed income and equities, ran a Risk function, and was on the management team of an Asset Management fintech business. Lindsey is now a Visiting Fellow at the Henley Business School, and resides on the board of CFA UK.

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