I do duration analysis of clients bond portfolios at work and have been trying to figure this out for a bit now.
I know in the CFA books, duration is calculated using YTM. My question is if Im looking at a clients statement and he purchased bonds at various dates, and the YTM is not given, nor the dates purchased, can I use the current yield to calculate the duration?
In general, do you have to use one or the other to calculate duration or does it depend?
Thanks
Are you trying to calculate duration as of a specific date, or duration of the current portfolio? If it is for the current portfolio, it doesn’t matter where the YTM was when each bond was purchased, just where it is today. You shouldn’t need any historical information to calculate duration on your current portfolio, only if you are trying to calculate it as of a specific date; and even then you would only need the information from that date.
Yes it is for the current portfolio. Great, that is the way I have been doing it. Thanks!