S sunpak New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Mar 27, 2015 #1 Can someone explain the duration of bond option? I just don’t seem to get it. Thanks!
S S2000magician New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Mar 27, 2015 #2 My guess would be that it’s: %Δoption price / %ΔYTM of the underlying bond Where, exactly, did you see it?
My guess would be that it’s: %Δoption price / %ΔYTM of the underlying bond Where, exactly, did you see it?
S sunpak New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Mar 27, 2015 Thread starter #3 Fixed Income Portfolio Management - study session 10
C cpk123 New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Mar 27, 2015 #4 Duration of option = Delta of option × Duration of underlying instrument × (Price of option)/(Price of underlying)
Duration of option = Delta of option × Duration of underlying instrument × (Price of option)/(Price of underlying)
S S2000magician New member Joined Jun 18, 2026 Messages 0 Reaction score 0 Mar 27, 2015 #5 Sounds like what I wrote, only more explicit.