The Macaulay duration is 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. Macaulay duration is frequently used by portfolio managers who use an immunization strategy.
The formula is complicated, but it boils down to: Duration = Present value of a bond's cash flows, weighted by length of time to receipt/ bond's current market value. For example, let's calculate the duration of a three-year $1,000 Company XYZ bond with a semiannual 10% coupon.
In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received. For a standard bond the Macaulay duration will be between 0 and the maturity of the bond.
•What is the Macaulay Duration? •The Macaulay Duration, Dm, of a collection of cash flows, CFj,is a weighted average (mean) of times. (periods), j, at which the
Duration is one of the fundamental characteristics of a fixed-income security (e.g., bond) alongside maturity, yield, coupon, and call features. It is a.
Move the scroll bars below for maturity, coupon, and yield, and insert the coupon frequency, to see the resulting calculation of Macaulay duration and estimated
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
The definition of duration and its two main types, Macaulay duration and Modified Duration.
Macaulay duration, named after Frederick Macaulay who developed the concept, is a measure of how long it takes for the price of a bond to be
This video discusses the concept of Macaulay Duration. The video uses a comprehensive