Kā aprēķināt Bond Duration
Kas ir Bond Duration?
Duration measures weighted average time to receive bond cash flows, approximating interest rate sensitivity: price change ≈ -duration × Δyield.
Soli pa solim ceļvedis
- 1Input bond coupon, yield, maturity
- 2Calculate Macaulay duration (time-weighted)
- 3Derive modified duration (price sensitivity)
Worked Examples
Ievade
5% coupon, 10-year bond, 5% yield
Rezultāts
Macaulay ≈ 8.2 years, modified ≈ 7.8 years
Modified used for price changes
Common Mistakes to Avoid
- ✕Confusing Macaulay and modified duration
- ✕Forgetting duration changes with yield
Frequently Asked Questions
Why duration < maturity?
Earlier cash flows (coupons) weighted in average.
Vai esat gatavs aprēķināt? Izmēģiniet bezmaksas Bond Duration kalkulatoru
Izmēģiniet to pats →