The weighted-average term to maturity of a bond's cash flows. The weighting is based on the present value of each cash flow divided by the price. This is one of two ways to calculate duration, the other being modified duration.
Related information about Macaulay Duration:
- Macaulay Duration Definition | Investopedia
Definition of 'Macaulay Duration'. The weighted average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing ...
- Macaulay Duration Calculator | Investopedia
Macaulay Duration Calculator - The weighted average term to maturity of the cash flows from a bond.
- Advanced Bond Concepts: Duration | Investopedia
The four types of durations are Macaulay duration, modified duration, effective ... Macaulay duration is calculated by adding the results of multiplying the present ...
- Bond duration - Wikipedia, the free encyclopedia
Macaulay duration, named for Frederick Macaulay who introduced the concept, is the weighted average maturity of cash flows. Consider some set of fixed cash ...
- Duration Basics
Jan 1, 2007 ... modifies Macaulay duration to measure the re- sponsiveness of a bond's price to interest rate changes. It is defined as the percentage change ...
- 6.4 Macaulay's Duration
o, we have seen that cash matching controls the exposure of a position to shifts in the yield curve by matching the position's cash flows synthetically. That is, if n ...
- What is Macaulay duration? definition and meaning
Definition of Macaulay duration: Approximate measure of the price volatility and interest rate-sensitivity of a fixed-income financial instrument such as an interest ...
- Duration
Graphically, Macaulay Duration is the point of balance (in years) for the cash ... Modified Duration = Macaulay Duration /( 1 + y/n), where y = yield to maturity and ...