Duration doubt

L

L3Crucifier

New member
Joined
Jun 18, 2026
Messages
0
Reaction score
0
Book-4, Fiex Income, Page-151, Q-13 - I have no idea what they are taking here.
how can a overnight repo increase portfolio duration than a 2 year repo ?!?
Help, please?
 
i believe this was asked before, not sure what the answer was, try to search for it
 
D of Equity = (DA-DL)/Equity
As DL increases, obviously your DE decreases.
2 year repo has higher D than over night, DE using 2 year will be less
 
i just got this equation in my head, does anyone remember where its from
DE = (Duration Assets * Assets) - (Duration Liabilties * (Liabilities / Assets))
sorry to confuse anyone.
 
I thought it was
DE = [ (Duration Assets * Assets) - (Duration Liabilties * Liabilities) ] / Equity
 
oh oh…i know what you mean now…
LADG it is called I think. And I think it is for bank IPS, all the way back in book 2 institutional investor
 
Also the formula for leveraged return which is
Rp = Ri + [B/E) * (Ri-c)]
Can also be used to calculate leveraged duration. Just use Duration of assets in place of Ri and duration of borrowed funds in place of c. You get the same answer.
 
passme wrote:
oh oh…i know what you mean now…
LADG it is called I think. And I think it is for bank IPS, all the way back in book 2 institutional investor
Click to expand...
haha yes, just went back and looked at my notes. i actually had to formula wrong
the correct formula is LADG = Duration of Assets - Duration Liabilities * (Liabilities/Assets)
 
L3Crucifier wrote:
I thought it was
DE = [ (Duration Assets * Assets) - (Duration Liabilties * Liabilities) ] / Equity
Click to expand...
just for clarification, Assets should be Total Investable Amount(equity + borrowed) and Liabilities should be Borrowed funds, correct?
 
For simplicity of remembering this formula, I remember it as
Dollar Duration of my Equity = Dollar duration of Assets - Dollar Duration of Liabilities
DurationEquity*Equity = DurationAssets*Assets-DurationLiabilities*Liabilities
Pretty straightforward to remember- accounting equation.
So once I get Dollar duration of Equity I know I just need to divide by equity to get duration of equity.
DDEquity/Equity
Method above keeps me from messing it up.
 
Also remember the term duration of equity is used interchangeably with duration of leveraged portfolio….Both uses the same formula…
 
You must log in or register to reply here.
Back
Top