CFA CFA Level 1 Question of the Week – Fixed Income

Question of the Week – Fixed Income

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    • Avatar of AdaptPrepAdaptPrep
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        First, we must calculate the cash flow yield. This statistic is calculated just like the IRR:
        504.13 = 100 / (1 + r) + 500 / (1 + r)^2
        r = 10%
        The Macaulay duration is the weighted average of time to receipt of each payment, discounted at the cash flow yield:
        MacDur = [1(100) / 1.1 + 2(500) / 1.1^2] / (100 / 1.1 + 500 / 1.1^2) = 1.82
      • Avatar of rsparksrsparks
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          • CFA Level 2
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          It’s just the time weighted yield to maturity for each of the zero coupon bonds right? 

        • Avatar of vievkgoelvievkgoel
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