YTM for bond index

CFA Level III Fixed Income
#1

The YTM for the bond index (given that the individual securities’ YTM are known) is calculated using weights that is a product of duration and market cap. I don’t understand why the YTM can be calculated just using the market cap weights.

For example,

weight of bond i = (duration of bond i * market cap of bond i)/Total sum product of market cap and duration of individual bonds.

Can someone please explain the reason behind inclusion of duration in weights?

Thanks.

#2

can you please point where this formula (or calculation) shows up?

This looks to me to be more of a calculation of PV of duration contribution - more than a YTM calculation.

#3

I agree CPK. I have seen this only duration calculation of a bond index and not the YTM calculation…