Bond Portfolio Immunization

[@strongasbull]

Slide @ 3:55: in calculating duration shouldn't the last cashflow be ($1070)/(1.1)^20 including the FV at the end?

[@RonaldMoy]

You're correct. Sorry about that.

[@strongasbull]

No, thanks so much for the videos- spent the last 4 hours clearing it all up for me!

[@irmeyaouedraogo151]

Thanks! for some reasons I've been trying to immunize a portfolio with assets of shorter maturity dates than the liabilities. Good Job!

[@deeuhn]

CFA level 3 brought me here! :)

[@RonaldMoy]

Dian Cahyadi Good luck with the test.

[@basikoJ7]

Yep, if not CFA L 3, I would have though that "immunization" was just a medical term.

[@dimar4150]

Thanks! this is a great video! Can you explain, given three conditions for Redington immunization, where the asset's and liability's cash flow's present values must be equal, how both cash flow's durations must be equal, and the asset's convexity> liability's convexity imply mathematically a concave up relative minimum point, and what does that actually mean in the real financial world.

[@richardmugwenhi]

*Well, turns out * this video is actually helpful

[@TheKhushty]

Thank you, these videos are a massive help :D

[@fffppp8762]

When yield curve is upward sloping, what is the relationship between immunization target return and YTM?

[@lurbbx33]

+Chen Bai To answer your question, first consider the definition of immunisation: which is to control interest rate risks by matching the duration of the assets and liabilities. Since the duration is matched, the portfolio is effectively immunised from interest rate changes (also discussed in the video). This means that regardless of the term structure, you should be able to cover your exposure.

[@jamesfifa9974]

duration is a measure of how much price will change to one percent of IR change; so how would this definition of duration make intuition sense in terms of immunization a portfolio like this? please explain

[@milktea2021]

that definition is modified duration. the one that he explained is macaulay duration.

[@diontaedaughtry974]

Thank you this was very helpful and informative 👍👍

[@muraliextreme]

Thanks a lot for good explanation

[@jabulanishamu3327]

Thank you

[@Anna_Rivas]

thank you!

[@CollMomo1]

good stuff

[@jqx7743]

Your example is not a bond portfolio, which should have different bonds.