In 1938, Frederick R. Macaulay defined Duration as the total weighted average...
The weighted - average term to maturity of a bond's cash flows. The weighting is based on the present value of each cash flow divided by the price. This is one of two ways to calculate duration, the other being modified duration.
Is the present value of all cash flows, both principal and interest, weighted by time. It is a measurement expressed in years which is generally less than the stated maturity. An exception occurs for zero coupon bonds.
An indicator that measures the price sensitivity, or volatility, of a bond to a change in yield.
The weighted-average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing the present value of the cash flow by the price.
A technique for calculating duration.
The weighted-average term to maturity of the cash flows from the bond, where the weights are the present value of the cash flow divided by the price.