Duration - Revision history

imported>Doug Williamson: Add links.

2022-07-16T21:12:04Z

Add links.

← Older revision		Revision as of 21:12, 16 July 2022
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	* [[Convexity]]		* [[Convexity]]
	* [[Effective duration]]		* [[Effective duration]]
			* [[Fair value interest rate risk]]
	* [[Fisher-Weil duration]]		* [[Fisher-Weil duration]]
			* [[Interest rate risk]]
	* [[Life]]		* [[Life]]
	* [[Longer term]]		* [[Longer term]]
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	* [[Modified duration]]		* [[Modified duration]]
	* [[Short duration]]		* [[Short duration]]
			* [[Short Duration Fixed Income Bond Fund]]
	* [[Short term]]		* [[Short term]]
	* [[Ultra short duration]]		* [[Ultra short duration]]
			* [[Ultra short duration bond fund]]

	[[Category:Financial_products_and_markets]]		[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Add links.

2022-07-07T16:23:21Z

Add links.

← Older revision		Revision as of 16:23, 7 July 2022
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	* [[Fisher-Weil duration]]		* [[Fisher-Weil duration]]
	* [[Life]]		* [[Life]]
			* [[Longer term]]
	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Maturity]]		* [[Maturity]]
	* [[Modified duration]]		* [[Modified duration]]
	* [[Short duration]]		* [[Short duration]]
			* [[Short term]]
	* [[Ultra short duration]]		* [[Ultra short duration]]

	[[Category:Financial_products_and_markets]]		[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Add link.

2022-07-07T16:22:22Z

Add link.

← Older revision		Revision as of 16:22, 7 July 2022
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	* [[Effective duration]]		* [[Effective duration]]
	* [[Fisher-Weil duration]]		* [[Fisher-Weil duration]]
			* [[Life]]
	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Maturity]]		* [[Maturity]]

imported>Doug Williamson: Add links.

2022-07-07T09:56:16Z

Add links.

← Older revision		Revision as of 09:56, 7 July 2022
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	* [[Maturity]]		* [[Maturity]]
	* [[Modified duration]]		* [[Modified duration]]
			* [[Short duration]]
			* [[Ultra short duration]]

	[[Category:Financial_products_and_markets]]		[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Layout.

2022-07-07T09:55:21Z

Layout.

← Older revision		Revision as of 09:55, 7 July 2022
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	In finance, duration - strictly defined - is the weighted average timing of all of an instrument’s cashflows, where the weightings are the present values of the cashflows at the current market yield.		In finance, duration - strictly defined - is the weighted average timing of all of an instrument’s cashflows, where the weightings are the present values of the cashflows at the current market yield.

	By formula, Duration = Sum(PVt)/Sum(PV).		By formula, Duration = Sum(PVt)/Sum(PV).

	Duration is widely used as a risk measure of a portfolio of assets or liabilities. It gives a general indication of the sensitivity of an instrument's or a portfolio's market price to small changes in market yield. (Modified duration measures this in a more refined way.)

	Broadly speaking, the longer the duration, the more sensitive the market price is likely to be to (small) changes in interest rates. Duration is also used as a measure to compare debt securities that have different maturities and yields.		Duration is widely used as a risk measure of a portfolio of assets or liabilities.

			It gives a general indication of the sensitivity of an instrument's or a portfolio's market price to small changes in market yield.

			(Modified duration measures this in a more refined way.)


			Broadly speaking, the longer the duration, the more sensitive the market price is likely to be to (small) changes in interest rates.

			Duration is also used as a measure to compare debt securities that have different maturities and yields.


			More strictly, the duration of an instrument specifies the remaining life of a zero coupon bond with the same value sensitivity (to a very small change in yield).

			Both can be regarded as equivalent to a single future cash flow after this period of time. If there is uncertainty about the timing or the occurrence of future cashflows - for example a call option on a bond - then the concept and calculation of duration becomes more complex.

	More strictly, the duration of an instrument specifies the remaining life of a zero coupon bond with the same value sensitivity (to a very small change in yield). Both can be regarded as equivalent to a single future cash flow after this period of time. If there is uncertainty about the timing or the occurrence of future cashflows - for example a call option on a bond - then the concept and calculation of duration becomes more complex.

	Not to be confused with ''maturity'', which is different.		Not to be confused with ''maturity'', which is different.

imported>Doug Williamson: Spacing.

2016-02-10T20:17:23Z

Spacing.

← Older revision		Revision as of 20:17, 10 February 2016
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	Obviously this can lead to potential confusion, so it is important to clarify whether duration or modified duration is intended in any particular context.		Obviously this can lead to potential confusion, so it is important to clarify whether duration or modified duration is intended in any particular context.


	== See also ==		== See also ==

imported>Annbrookconsultancy@gmail.com at 12:06, 23 November 2014

2014-11-23T12:06:35Z

← Older revision		Revision as of 12:06, 23 November 2014
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	* [[Maturity]]		* [[Maturity]]
	* [[Modified duration]]		* [[Modified duration]]

			[[Category:Financial_products_and_markets]]

imported>Doug Williamson: Spacing and link with new Effective duration page.

2014-09-25T21:05:30Z

Spacing and link with new Effective duration page.

← Older revision		Revision as of 21:05, 25 September 2014
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	1.		1.

	In finance, duration - strictly defined - is the weighted average timing of all of an instrument’s cashflows, where the weightings are the present values of the cashflows at the current market yield.		In finance, duration - strictly defined - is the weighted average timing of all of an instrument’s cashflows, where the weightings are the present values of the cashflows at the current market yield.
	By formula, Duration = Sum(PVt)/Sum(PV).		By formula, Duration = Sum(PVt)/Sum(PV).
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	Not to be confused with ''maturity'', which is different.		Not to be confused with ''maturity'', which is different.


	2.		2.

	More loosely, the terms ''duration'' and ''Modified duration'' are often used interchangeably.		More loosely, the terms ''duration'' and ''Modified duration'' are often used interchangeably.

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	== See also ==		== See also ==
	* [[Convexity]]		* [[Convexity]]
			* [[Effective duration]]
	* [[Fisher-Weil duration]]		* [[Fisher-Weil duration]]
	* [[Macaulay duration]]		* [[Macaulay duration]]
	* [[Maturity]]		* [[Maturity]]
	* [[Modified duration]]		* [[Modified duration]]

imported>Administrator: CSV import

2012-10-23T14:19:27Z

CSV import

New page

1.
In finance, duration - strictly defined - is the weighted average timing of all of an instrument’s cashflows, where the weightings are the present values of the cashflows at the current market yield.
By formula, Duration = Sum(PVt)/Sum(PV).

Duration is widely used as a risk measure of a portfolio of assets or liabilities. It gives a general indication of the sensitivity of an instrument's or a portfolio's market price to small changes in market yield. (Modified duration measures this in a more refined way.)

Broadly speaking, the longer the duration, the more sensitive the market price is likely to be to (small) changes in interest rates. Duration is also used as a measure to compare debt securities that have different maturities and yields.

More strictly, the duration of an instrument specifies the remaining life of a zero coupon bond with the same value sensitivity (to a very small change in yield). Both can be regarded as equivalent to a single future cash flow after this period of time. If there is uncertainty about the timing or the occurrence of future cashflows - for example a call option on a bond - then the concept and calculation of duration becomes more complex.

Not to be confused with ''maturity'', which is different.

2.
More loosely, the terms ''duration'' and ''Modified duration'' are often used interchangeably.

Obviously this can lead to potential confusion, so it is important to clarify whether duration or modified duration is intended in any particular context.

== See also ==
* [[Convexity]]
* [[Fisher-Weil duration]]
* [[Macaulay duration]]
* [[Maturity]]
* [[Modified duration]]