Macaulay’s duration is a measure of a bond price sensitivity to changes in market interest rates. It is calculated as the weighted-average of the time difference of the bond cash flows from time 0. A high duration means the bond has a high interest rate
MacaulayMacaulay duration approximates the yield elasticity of bond price. Since its introduction in 1938 researchers have sought a more accurate formula. This article demonstrates Macaulay's formula gives accurate results if applied appropriately. A bond with maturity n has n solutions for yield, one...
The bond’s annual Macaulay duration is 2.500. The money duration is equal to the annual modified duration times the full price per 100 of par value: MoneyDur=Annual ModDur×PVFullMoneyDur=Annual ModDur×PVFull =MacDur(1+y)×PVFull=2.51+0.05252×$97.25=$236.90=MacDur(1+y)×PVFull=...
Macaulay Duration = Modified Duration * [1 + (Yield/ Frequency)] Where– T:Total Time Period C:Coupon Payment Y:Yield N:Total Number of Periods M:Maturity Price:Present Value of All the Cash Flows Example of Macaulay Duration Formula (With Excel Template) ...
It is calculated using four ways that includes the Macaulay duration, modified duration and effective duration formula. Duration allows an investor to calculate the possible interest rate risk when purchasing a bond.年份: 2007 收藏 引用 批量引用 报错 分享 ...
金融风险Durationmodel 金融风险Durationmodel 2024年2月2日星期五 Introduction Firstdevelopedin1938byFrederickMacaulayTakingintoaccountbothleverageandtimingof cashflowofassetsandliabilitiesMoreaccuracyininterestratemeasurementBetterforinterestrateriskimmunizationRegulatoryrequirement 2 ReflectionontheShortcomingofMaturitymodel:...
Macaulay Duration=∑t=1nt×C(1+y)t+n×M(1+y)nCurrent Bond Pricewhere:t=Respective time periodC=Periodic coupon paymenty=Periodic yieldn=Total number of periodsM=Maturity value\begin{aligned}&\text{Macaulay Duration} = \frac{ \sum_{t = 1} ^ {n} \frac{ t \times C }{ (1 + y...
Next, using the Macaulay duration formula, the duration is calculated as: Macaulay Duration=($95.24×1$1,136.16)+($90.70×2$1,136.16)+($950.22×3$1,136.16)=2.753Macaulay Duration=($95.24×$1,136.161)+($90.70×$1,136.162)+($950.22×$1,136.163)=2.753 This result...
doi:10.2139/ssrn.1907852bondcomplex numberdurationfixed incomeMacaulayMacaulay duration approximates the yield elasticity of bond price. Since its introduction in 1938 researchers have sought a more accurate formula. This articleSocial Science Electronic Publishing...
Duration model Durationmodel Introduction Firstdevelopedin1938byFrederickMacaulayTakingintoaccountbothleverageandtimingof cashflowofassetsandliabilitiesMoreaccuracyininterestratemeasurementBetterforinterestrateriskimmunizationRegulatoryrequirement ReflectionontheShortcomingofMaturitymodel:Ignoringcouponeffect Maturitymodeltriesto...