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Bond duration - Macaulay duration | A Wisdom Archive on Bond duration - Macaulay duration | | Bond duration - Macaulay duration A selection of articles related to Bond duration - Macaulay duration | |
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Bond duration, Bond duration - Average duration, Bond duration - Cash Flow, Bond duration - Convexity, Bond duration - Embedded options and effective duration, Bond duration - Lists, Bond duration - Macaulay duration, Bond duration - Modified duration, Bond duration - PVO1, Bond duration - Price, Bond convexity, Bond valuation, Immunization (finance), Stock duration
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ARTICLES RELATED TO Bond duration - Macaulay duration | |
| | |  Bond duration - Macaulay duration: Encyclopedia II - Bond duration - Embedded options and effective durationFor bonds that have embedded options, Macauley duration and modified duration will not correctly approximate the price move for a change in yield. Consider a bond with an embedded put option. As an example, a $1,000 bond that can be redeemed by the holder at par at points before the bond's maturity. No matter how high interest rates become, the price of the bond will never go below $1,000. This bond's price sensitivity to interest rate changes is different than a non-puttable bond with identical cashflows. Bonds that have embedded options sh ...
See also:Bond duration, Bond duration - Price, Bond duration - Cash Flow, Bond duration - Macaulay duration, Bond duration - Modified duration, Bond duration - Embedded options and effective duration, Bond duration - Convexity, Bond duration - Average duration, Bond duration - PVO1, Bond duration - Lists Read more here: » Bond duration: Encyclopedia II - Bond duration - Embedded options and effective duration |
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| | | | Bond duration - Macaulay duration: Encyclopedia II - Bond duration - Modified duration Modified duration is calculated as follows:
where r is the yield to maturity of the bond, and n is the number of cashflows per year.
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See also:Bond duration, Bond duration - Price, Bond duration - Cash Flow, Bond duration - Macaulay duration, Bond duration - Modified duration, Bond duration - Embedded options and effective duration, Bond duration - Convexity, Bond duration - Average duration, Bond duration - PVO1, Bond duration - Lists Read more here: » Bond duration: Encyclopedia II - Bond duration - Modified duration |
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