Dollar duration

This exposure can also be cast in terms of dollar exposure. To accomplish this, the dollar duration of the issue or sector is used instead of the duration of the issue or sector. 

Hedging the underlying portfolio hence requires the relative volatility that exists between the cash market bond(s) held in the portfolio and the futures contract. Dollar duration can assist in this search since modified duration can help predict the effect of small changes in yield on the price of a bond ... 

Associated with duration is the concept of dollar duration. Dollar duration is invaluable for portfolio managers when analysing the concentration of the portfolio in different buckets adjusted for duration. Mathematically, it is the product of the dollar value of the bond and its duration. For the purpose of portfolio analysis duration contribution (the product of duration and market value percentage) is used. Exhibit 26.3 shows the concentration of a portfolio in duration contribution terms. 

Exhibit 26.7 is an illustration of a bulleted exposure relative to the benchmark crafted on a duration-neutral basis. Exhibit 26.8 illustrates the effect of a curve steepening on a two-bond portfolio (barbell) to a one-bond portfolio (bullet) with identical dollar durations. As can be observed from the exhibit, the 2-30 part of the curve has steepened by 100 bp, with the two year yields falling 50 bp, 10 year yields rising 50 bp, and the 5-year yields unchanged. In the example, such a scenario would cause the barbell portfolio to underperform the bulleted one by 1.07%... 

My four-month tenure was drawing to an end. If I resigned now it would mean a fatal administrative interruption. That s what 1 told myself, anyway. Twice within a week, Telford Taylor s office telephoned to detail the problem in dollars and cents. Unless his office got another appropriation, all pre-trial investigations like this would have to come to an end. "March is almost over. Can you give us an estimated deadline for issuing the indictment And an estimated duration of trial, if there s to be a trial "... 

Clinical trials can be extremely cosily. Hundreds or thousands of patients must be recruited and monitored for the duration of the trial. Many physicians, nurses, clinical pharmacologists, statisticians, and others participate in the design and execution of the trial. Closts can run from tens of millions to hundreds of millions of dollars. Extensive records must be kept, including documentation of any adverse reactions. These data are compiled and submitted to the FDA. The full cost of developing a drug is currently estimated to be from 400 million to 800 million. 

For this reason, retired people depend on other means to raise their fixed pension incomes to preretirement levels. A plot of pension values (in 1999 dollars) versus retirement duration indirectly shows the importance of other... 

This first Brite-Euram Project had a duration of 3 years and a budget of about 3.8 million dollars. The task of the Universities was to develop methods and software the task of the industrial partners was to run the experiments. The key subject areas for this project were process synthesis, process design, and experiments using industrially relevant reaction systems and catalyst systems. In the areas of process synthesis and design, computational tools were developed in accordance with the CAPE programming guidelines. 

For example, consider the 3-bond portfolio given in Exhibit 4.25. Suppose that we calculate the dollar change in market value for each bond in the portfolio based on its respective duration for a 50 basis point change in yield. We would then have ... 

In the United States, treatment of cocaine addiction can range from thousands to tens of thousands of dollars. Medical insurance does not cover the cost of drug addiction treatment plans, which may range in duration from weeks to months to years, depending on the individual (source http //newbizshop.eom/2009/l 1/alcohol-addiction-treatment-abroad). 

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