macaulay-duration

Learning objectives: Calculate the Macaulay duration, modified duration, and dollar duration of a bond. Evaluate the limitations of duration and explain how convexity addresses some of them. Calculate the change in a bond’s price given its duration, its convexity, and a change in interest rates...

Hi, I am confused on the difference in how John Hull (John Hull Example 4.6) and Tuckman (Tuckman Table 4.6) calculates their Macaulay duration in order to determine the modified duration. In John Hull's example, he uses continuous compounding to determine present value of the cash flows and...

Macaulay duration is the bond's weighted average maturity (where the weights are each cash flow's present value as a percent of the bond's price; in this example, the bond's Macaulay duration is 2.8543 years. Modified duration is the true (best) measure of interest rate risk; in this example...

Using my rebuild of Bruce Tuckman's Table 4-6, this video illustrates the calculation of Macaulay and modified duration. Macaulay duration is the bond's weighted average maturity. Modified duration is the best measure of the bond's interest rate risk.

Dear David, Thanks a lot for video lectures they are much inspiring Still I was little bit confused with all these different names duration, modified duration, Macauly duration,.. etc...I will shortly examine mine view of this and kindly ask you to comment ( but without laughing:)) According to...

FRM Fun 11. The Macaulay duration is the weighted average maturity of a bond, where the weights are the present values (as a percentage of the bond's price) of the cash flow. Hull's Table 4.6 below illustrates this nicely; the Macaulay duration of his 3-year bond is 2.653 years, which the sum...