Skip to content
Erudite AfricaCenter of Excellence
← Securities

Time value, bond pricing, credit spreads and duration

Module 04 / 5 · 70 min

Move to the advanced level: discount cash flows, price bonds clean and dirty, solve for yield to maturity, build a yield curve from T-bill auctions, price a credit spread and measure price risk with duration and convexity.

In this module you will learn to

  • Compute present and future values and annuities under different compounding conventions
  • Price a bond as the present value of its cash flows and solve for yield to maturity
  • Separate the clean price from accrued interest and the dirty price
  • Build a yield curve from T-bill auctions and build up a credit spread from risk, structure and liquidity
  • Calculate Macaulay duration, modified duration and convexity and estimate price changes

Built on

  • Erudite Africa training module: Ethiopian Context, topic 2.c Securities, Levels 1 and 2 (October 2026)
  • Capital Market Proclamation No. 1248/2021; Commercial Code Proclamation No. 1243/2021; National Bank of Ethiopia Proclamation No. 1359/2025
  • ECMA Directives No. 980/2024 and 996/2024; Directive No. 1030/2024 and No. 1009/2024 as reported; ESX Rulebook (December 2024)
  • NBE directives as listed in the lessons: SBB/89/2024, SBB/92/2024, SBB/95/2025, SBB/98/2025, SBB/78/2021 (reported), FXD/04/2026
  • NBE Monetary Policy Committee release No. 7 (July 2026); Ministry of Finance Public Sector Debt Statistical Bulletin No. 56

Examples and companies are fictional. Bank practices are shown as typical Ethiopian practice, not as any one bank's policy. Always apply your own institution's approved policy and the current NBE directives.