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Duration measures weighted average time to receive bond cash flows, approximating interest rate sensitivity: price change ≈ -duration × Δyield.
Guida passo passo
- 1Input bond coupon, yield, maturity
- 2Calculate Macaulay duration (time-weighted)
- 3Derive modified duration (price sensitivity)
Esempi risolti
Ingresso
5% coupon, 10-year bond, 5% yield
Risultato
Macaulay ≈ 8.2 years, modified ≈ 7.8 years
Modified used for price changes
Errori comuni da evitare
- ✕Confusing Macaulay and modified duration
- ✕Forgetting duration changes with yield
Domande frequenti
Why duration < maturity?
Earlier cash flows (coupons) weighted in average.
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