7 articles
DV01
DV01, also called dollar duration or PV01, is the dollar change in a bond's or swap's value for a one-basis-point change in yield, the standard unit traders use to hedge rate exposure.
Effective duration
Effective duration is a fixed-income risk measure estimating a bond's percentage price change for a parallel yield-curve shift, useful for callable bonds and mortgage-backed securities whose cash flows change.
Expectations hypothesis
The expectations hypothesis of the term structure holds that long bond yields equal the average expected short-term rate plus a risk premium, a theory widely tested and often rejected.
Macaulay duration
Macaulay duration is the weighted-average time, in years, to receive a bond's promised cash flows, introduced by Frederick Macaulay in 1938 as a measure of a bond's longness.
Market segmentation theory
Market segmentation theory is a theory of the term structure of interest rates holding that each bond maturity's rate is set by that segment's own supply and demand.
Modified duration
Modified duration is a measure of a bond's price sensitivity to changes in its yield-to-maturity, obtained from Macaulay duration by dividing by one plus the yield per period.
Preferred habitat theory
Preferred habitat theory is a term-structure theory holding that bond investors have preferred maturity ranges and must be offered a premium to hold bonds outside them.