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imported>Doug Williamson |
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| ''Risk management''
| | The same as Fisher-Weil duration. |
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| Duration calculates the weighted average timing of the cashflows of an instrument, weighted by the present values of the cashflows.
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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).
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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.
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| Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.
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| Fisher-Weil duration calculates accordingly the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity. | |
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| This refinement is particularly important when the cash flows are longer term and when yields vary significantly for different maturities.
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| == See also == | | == See also == |
| * [[Duration]] | | * [[Fisher-Weil duration]] |
| * [[Macaulay duration]]
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| * [[Yield curve]]
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Revision as of 09:57, 22 June 2016
The same as Fisher-Weil duration.
See also
