Macaulay duration

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

• Duration
• Fisher-Weil duration
• Immunisation
• Modified duration
• Yield to maturity