Macaulay duration

From ACT Wiki
Revision as of 14:20, 23 October 2012 by imported>Administrator (CSV import)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to navigationJump to search

Duration is the weighted average timing of the cash flows of an instrument, weighted by the present values of the cash flows.

Macaulay’s duration uses the yield to maturity of the instrument to work out the present values to use for weighting in the duration calculation.

See also