Questions tagged [duration]
Duration measures the amount by which price varies with respect to changes in yield.
11
questions
1
vote
1
answer
928
views
Difference between Macaulay duration and modified duration?
I'm studying finance and am struggling to find the difference between the macaulay duration and the modified duration?
I believe the Macaulay duration is the effective time a bond is due to be repaid ...
2
votes
2
answers
152
views
What does "Principal" mean in this definition of Bond Duration?
According to Investopedia: "Duration measures a fixed income’s sensitivity to changes in interest rates. Duration is a complicated calculation, but it's standard information that's provided with ...
0
votes
0
answers
41
views
Calculating bond duration and price change when yield changes
I've been working on this forever and I'm still not sure if my answers are correct. My question is:
A 10 year bond with a face value of $1000 paying semi-annual 7% coupon. Bond is paying 7% YTM.
...
1
vote
1
answer
59
views
Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?
I would like to know if this difference occurs when the coupon payments are very large and/or if there are other reasons.
2
votes
1
answer
94
views
Bond Duration with respect to time
How would the duration of a coupon bond change with respect to time. Would you use the original price, and yield to determine the new duration, or would you have to calculate a new price for the new ...
0
votes
1
answer
86
views
Active Bond Funds - Interest Rate Swaps
I am a long time investor in an active Australian Bond fund (set & forget type of thing) but lately I have been doing a lot of research and I have realised that bond managers use a lot of ...
2
votes
2
answers
323
views
Simpler way of calculating duration for bonds?
So the question is: Find the duration of a 6% coupon bond making annual coupon payments if it has 3 years until maturity and has a yield to maturity of 6%. What is the duration if the yield to ...
3
votes
1
answer
935
views
Why is the Macaulay Duration recalculated after each coupon payment?
I'm trying to understand why Macaulay Duration is recalculated after each coupon payment. I can see why I want to know the duration when purchasing a bond - to figure out how long till I recoup my ...
2
votes
1
answer
475
views
What is the difference between fixed-income duration and equity duration?
I noticed this question, How to determine duration of a common stock whose dividends grow in perpetuity? I am familiar with the concept of duration for bonds, but not for common stock (actually, it is ...
1
vote
2
answers
3k
views
How to determine duration of a common stock whose dividends grow in perpetuity?
What is the duration of a common stock whose dividends are expected to grow at a constant rate in perpetuity? Specifically, how can I compute this, since the dividends will grow forever?
Update: Ok, ...
2
votes
2
answers
411
views
Choosing the duration of a loan, how the monthly payments evolve in function of the loan term?
I would like to visually discover how the monthly repayments of a given loan (for a given amount ; taking about a fixed rate loan) evolve in function of the total duration of the loan. I assume it is ...