Macaulay duration: Difference between revisions
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Macaulay’s duration uses the ''yield to maturity'' of the instrument to work out the present values to use for weighting in the duration calculation. | Macaulay’s duration uses the ''yield to maturity'' of the instrument to work out the present values to use for weighting in the duration calculation. | ||
== See also == | == See also == | ||
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* [[Modified duration]] | * [[Modified duration]] | ||
* [[Yield to maturity]] | * [[Yield to maturity]] | ||
Revision as of 10:52, 22 June 2016
Duration is the weighted average timing of the cash flows of an instrument, weighted by the present values of the cash flows.
Macaulay’s duration uses the yield to maturity of the instrument to work out the present values to use for weighting in the duration calculation.
