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Macaulay duration
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Macaulay duration, is the weighted average maturity of cash flows. Consider some set of fixed cash flows. The present value of these cash flows is:
Macaulay duration is defined as:[1][2][3] [4]
- (1)
where:
indexes the cash flows,
is the present value of the 
th cash payment from an asset,
is the time in years until the 
th payment will be received,
is the present value of all future cash payments from the asset.
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Bond duration - Wikipedia, the free encyclopedia
Dollar duration, DV01 6.1 Application to Value-at-Risk (VaR) 7 Embedded options and effective duration8 Spread duration9 Average duration10 Convexity11 See also12 Notes13 References14 Further reading15 External links Macaulay duration[edit] <span>Macaulay duration, named for Frederick Macaulay who introduced the concept, is the weighted average maturity of cash flows. Consider some set of fixed cash flows. The present value of these cash flows is: Macaulay duration is defined as:[1][2][3] [4] (1) where: indexes the cash flows, is the present value of the th cash payment from an asset, is the time in years until the th payment will be received, is the present value of all future cash payments from the asset. In the second expression the fractional term is the ratio of the cash flow to the total PV. These terms add to 1.0 and serve as weights for a weighted average. Thus the overall expressi
Bond duration - Wikipedia, the free encyclopedia
Dollar duration, DV01 6.1 Application to Value-at-Risk (VaR) 7 Embedded options and effective duration8 Spread duration9 Average duration10 Convexity11 See also12 Notes13 References14 Further reading15 External links Macaulay duration[edit] <span>Macaulay duration, named for Frederick Macaulay who introduced the concept, is the weighted average maturity of cash flows. Consider some set of fixed cash flows. The present value of these cash flows is: Macaulay duration is defined as:[1][2][3] [4] (1) where: indexes the cash flows, is the present value of the th cash payment from an asset, is the time in years until the th payment will be received, is the present value of all future cash payments from the asset. In the second expression the fractional term is the ratio of the cash flow to the total PV. These terms add to 1.0 and serve as weights for a weighted average. Thus the overall expressi
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