Questions tagged [duration]

Duration measures the amount by which price varies with respect to changes in yield.

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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 ...
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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 ...
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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. ...
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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.
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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