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Bond duration - Wikipedia, the free encyclopedia
In finance, the duration of a financial asset measures the sensitivity of the asset's price to interest rate movements. There are various definitions of duration and derived quantities, discussed be...
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The bigger the duration number, the greater the interest-rate risk or reward for bond prices. ... Advanced Bond Concepts: Duration - Bonds with higher duration carry more risk, making this measure an important one for investors to calculate.
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Bond duration closed-form formula - Wikipedia, the free encyclopedia
Bond duration closed-form formula: Dur=\frac{C\frac{(1+ai)(1+i)^m-(1+i)-(m-1+a)i}{i^2(1+i)^{(m-1+a)}}+\frac{100(m-1+a)}{(1+i)^{(m-1+a)}}}{P} C = coupon payment per period (half-year) i = discount ra...
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Yield-to-Maturity...
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76; BOND DURATION; A bond’s duration represents the weighted average time to full recovery of interest and principal payments. A bond with a maturity of five years; (assuming it has a coupon rate greater than zero) will have a Macaulay du-ration of less than five.
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The calculation of Bond Duration brings all these factors together in one number, allowing us to have a measurement of a bond’s price sensitivity to changes in market interest rates. Derivation of Macaulay's Duration Factor;
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Author info | Abstract | Publisher info | Download info | Related research | Statistics ... Benesh, Gary A; ... To our knowledge, this item is not available for download. To find whether it is available, there are three options: 1. Check below under "Related research" whether another version of this item is available online.
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