Fisher-Weil duration - Revision history

imported>Doug Williamson: Classify page.

2022-07-01T14:44:46Z

Classify page.

← Older revision		Revision as of 14:44, 1 July 2022
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	''Risk management''		''Risk management''.

	Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.		Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.
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	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Yield curve]]		* [[Yield curve]]

			[[Category:Identify_and_assess_risks]]
			[[Category:Manage_risks]]

imported>Doug Williamson: Update.

2016-12-13T11:09:33Z

Update.

← Older revision		Revision as of 11:09, 13 December 2016
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	Two forms of the duration measure are Macaulay's duration (which is simpler) and Fisher-Weil duration (which is more refined).		Two forms of the duration measure are Macaulay (or Macaulay's) duration (which is simpler) and Fisher-Weil duration (which is more refined).

	~~Macaulay’s~~ duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.		Macaulay duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.

	Fisher-Weil duration is a refinement of ~~Macaulay’s~~ duration which takes into account the term structure of interest rates (the yield curve).		Fisher-Weil duration is a refinement of Macaulay duration which takes into account the term structure of interest rates (the yield curve).

imported>Doug Williamson: Update.

2016-12-13T11:06:07Z

Update.

← Older revision		Revision as of 11:06, 13 December 2016
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	Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.		Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.

	Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.		Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates (the yield curve).

imported>Doug Williamson: Removed link

2016-11-16T13:55:30Z

Removed link

← Older revision		Revision as of 13:55, 16 November 2016
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	''Risk management''.		''Risk management''

	Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.		Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.
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	== See also ==		== See also ==
	* [[CertFMM]]
	* [[Duration]]		* [[Duration]]
	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Yield curve]]		* [[Yield curve]]

imported>Doug Williamson: Spacing.

2016-01-15T23:25:30Z

Spacing.

← Older revision		Revision as of 23:25, 15 January 2016
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	''Risk management''.		''Risk management''.


	Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.		Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.

imported>Doug Williamson: Layout.

2015-12-04T14:42:58Z

Layout.

← Older revision		Revision as of 14:42, 4 December 2015
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	''Risk management''.		''Risk management''.


	Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.		Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.


	Two forms of the duration measure are Macaulay's duration (which is simpler) and Fisher-Weil duration (which is more refined).		Two forms of the duration measure are Macaulay's duration (which is simpler) and Fisher-Weil duration (which is more refined).
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	Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.		Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.


	Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.		Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.

imported>Doug Williamson: Link with qualifications page.

2014-11-01T14:52:37Z

Link with qualifications page.

← Older revision		Revision as of 14:52, 1 November 2014
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	== See also ==		== See also ==
			* [[CertFMM]]
	* [[Duration]]		* [[Duration]]
	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Yield curve]]		* [[Yield curve]]

imported>Doug Williamson: Spacing 27/8/13

2013-08-27T14:06:59Z

Spacing 27/8/13

← Older revision		Revision as of 14:06, 27 August 2013
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	''Risk management''.		''Risk management''.

	Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.		Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.

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	Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.		Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.

	Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.		Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.

			Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.

	This refinement is particularly important when the cash flows are longer term and when yields vary significantly for different maturities.		This refinement is particularly important when the cash flows are longer term and when yields vary significantly for different maturities.


	== See also ==		== See also ==
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	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Yield curve]]		* [[Yield curve]]

imported>Administrator: CSV import

2012-10-23T14:19:38Z

CSV import

New page

''Risk management''.
Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.

Two forms of the duration measure are Macaulay's duration (which is simpler) and Fisher-Weil duration (which is more refined).

Macaulay’s duration assumes a flat yield curve - in other words the same yield (to maturity) for all maturities of cashflow.

Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.

This refinement is particularly important when the cash flows are longer term and when yields vary significantly for different maturities.

== See also ==
* [[Duration]]
* [[Macaulay duration]]
* [[Yield curve]]