Macaulay duration: Difference between revisions
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Duration is the weighted average timing of the cash flows of an instrument, weighted by the present values of the cash flows. | Duration is the weighted average timing of the cash flows of an instrument, weighted by the present values of the cash flows. | ||
Macaulay duration uses the ''yield to maturity'' of the instrument to work out the present values to use for weighting in the duration calculation. | |||
Also known as ''Macaulay's'' duration. | |||
== See also == | == See also == | ||
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* [[Modified duration]] | * [[Modified duration]] | ||
* [[Yield to maturity]] | * [[Yield to maturity]] | ||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 18:11, 1 July 2022
Duration is the weighted average timing of the cash flows of an instrument, weighted by the present values of the cash flows.
Macaulay duration uses the yield to maturity of the instrument to work out the present values to use for weighting in the duration calculation.
Also known as Macaulay's duration.
