Fixed Income

Join Ryan O’Connell, CFA, FRM, as he dives deep into Calculating Macauley, Modified, and Effective Bond Durations using Excel. Starting with the basics of calculating the present value of a semi-annual bond, this tutorial will guide you step-by-step through the intricacies of bond duration calculations. Bond duration is a key concept for understanding interest rate risk. Whether you’re a finance professional or just keen to learn, this video offers valuable insights and hands-on techniques. Don’t forget to like, share, and subscribe for more expert finance tutorials!

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Chapters:
0:00 – Intro to Calculating Bond Durations in Excel
0:13 – Calculating the Present Value of Semi-Annual Bond
2:37 – Calculate Macauley Duration
4:05 – Calculate Modified Duration
5:21 – Calculate Effective Duration

Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Ryan O’Connell, CFA, FRM explains an interest rate swap valuation example in Excel. The swap in question is a plain vanilla interest rate swap.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/interest-rate-swaps-excel-model/

Chapters:
0:00 – Intro to Interest Rate Swaps
0:29 – Swap Basics & The Treasury Curve Explained
1:29 – Value a Series of Fixed Rate Payments
3:00 – Value a Series of Floating Rate Payments
4:12 – Value a Plain Vanilla Interest Rate Swap
5:18 – Price an Interest Rate Swap Using Excel Solver

Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Ryan O’Connell, CFA, FRM shows how to calculate yield to maturity (YTM) of a coupon bond. He uses a TI BA II Plus Calculator to calculate yield to maturity (YTM)

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Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Example spot rates in this video come from:
CFA Level 2, Fixed Income
The Term Structure and Interest Rate Dynamics
by Thomas S.Y. Ho, PhD, Sang Bin Lee, PhD, and Stephen E.
Wilcox, PhD, CFA

Ryan O’Connell, CFA, FRM explains Binomial Interest Rate Trees. He shows how Backward Induction works with an option-free bond. This video will be especially useful for CFA Level 2 Candidates.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/binomial-interest-rate-trees-spreadsheet/

Chapters:
0:00 – Explanation of Par Rates
0:52 – Estimating the Binomial Interest Rate Tree
3:40 – Backward Induction of a 1 Year Par Bond
4:26 – Finding the Lower Bound Year 1 Forward Rate
7:23 – Finding the Lower Bound Year 2 Forward Rate

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC

Ryan O’Connell, CFA, FRM explains riding the yield curve and rolling down the yield curve. This will be particularly useful for CFA Level 2 candidates.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/riding-the-yield-curve-excel-workbook/

Chapters:
0:00 – Intro to Riding the Yield Curve
0:28 – Conditions Necessary to Ride the Yield Curve
1:51 – Valuing a 5 Year Bond After Two Years
6:18 – Valuing a 6 Year Bond After Two Years
7:56 – Why the Yield Curve Must Be Upward Sloping

Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Ryan O’Connell, CFA, FRM discusses how to bootstrap spot rates from the par rate curve.

CORRECTION: @4:23 we should be using the 2 year spot rate of 4.04%, not the 2 year par rate of 4%.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/financial-modeling-excel-spreadsheet-for-bootstrapping-spot-rates/

Chapters
0:00 – Par Curve Definition
1:11 – Bootstrap Spot Rates From Par Rates
6:06 – Bootstrapping Example in Excel

Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.C

Ryan O’Connell, CFA, FRM explains how to calculate Probability of Default (PD), Loss Given Default (LGD), and Expected Loss (EL) in Microsoft Excel.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/probability-of-default-pd-and-loss-given-default-lgd-excel-template/

Chapters:
0:00 – Calculate Present Value of Risky Corporate Bond
0:57 – Calculate the Yield to Maturity (YTM) of the Risk Free Bond
3:12 – Calculate the Credit Spread
3:59 – Calculate Probability of Default (PD)
4:18 – Calculate Loss Given Default (LGD)
5:06 – Calculate Expected Loss (EL)

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Ryan O’Connell, CFA, FRM discusses how to calculate spot rates, forward rates, and discount factors.

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Chapters:
0:00 – Discount Factors and Spot Rates Defined
0:49 – Calculate Discount Factors Using Spot Rates
2:25 – Forward Rates Defined
3:31 – The Forward Rate Model Defined
3:54 – Calculate Forward Rates Using Spot Rates

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Example problems worked in this video come from:
CFA Level 2, Fixed Income
The Term Structure and Interest Rate Dynamics
by Thomas S.Y. Ho, PhD, Sang Bin Lee, PhD, and Stephen E.
Wilcox, PhD, CFA

Ryan O’Connell, CFA, FRM shows how to create a loan amortization table in Excel.

Chapters:
0:00 – Defining the Attributes of the Loan
1:33 – Creating a Loan Amortization Table in Excel
4:15 – Making Sense Out of the Loan Amortization Table

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💾 *Download Free Excel File Here:* https://ryanoconnellfinance.com/product/loan-amortization-table-template-in-excel/

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC

Ryan O’Connell, CFA, FRM explains Key Rate Duration & Key Rate Shifts in Microsoft Excel.

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💾 Download Free Excel File:
► Grab the file from this video here: https://ryanoconnellfinance.com/product/microsoft-excel-template-for-key-rate-duration-key-rate-shifts/

Chapters:
0:00 – Annual Coupon Paying Bond
0:48 – The Spot Yield Curve
1:20 – Calculating Macaulay Duration
2:10 – Yield Curve Shifts
2:36 – Key Rate Duration Explained

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.