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effective duration

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См. также в других словарях:

  • Effective Duration — A duration calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change. Effective duration can be estimated using modified duration if the bond with embedded… …   Investment dictionary

  • effective duration — (1) One of several methods of expressing duration. More accurate than Macaulay duration or modified duration. See convexity, duration, Macaulay duration, and modified duration (2) A synonym for empirical duration. See empirical duration. (3) A… …   Financial and business terms

  • Effective duration — The duration calculated using the approximate duration formula for a bond with an embedded option, reflecting the expected change in the cash flow caused by the option. Measures the responsiveness of a bond s price taking into account the… …   Financial and business terms

  • duration — A sophisticated measure of the average timing of cash flows from an asset or a liability or from an asset portfolio or a liability portfolio. Essentially, duration is a more accurate measure of maturity because it reflects the timing of cash… …   Financial and business terms

  • duration of risk — The extent of time within which the losses covered by a policy of insurance must occur in order for the insurer to be liable. 29 Am J Rev ed Ins § 317. The period of time between the effective date of the policy and the termination of the risk by …   Ballentine's law dictionary

  • Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • key rate duration — A measure of duration that calculates effective or empirical duration by changing the market rate for one specific maturity point on the yield curve while holding all other variables constant. May be done as part of a series of calculations that… …   Financial and business terms

  • negative duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has negative duration, its price decreases in response to a decrease in prevailing market rates.… …   Financial and business terms

  • modified duration — Macaulay duration adjusted for compounding. The figure for Macaulay duration is divided by the sum of one plus the rate divided by the number of compounding periods per year. A more accurate measure of the weighted average time remaining until… …   Financial and business terms

  • Empirical Duration — The calculation of a bond s duration based on historical data. Empirical duration is estimated statistically using historical market based bond prices and historical market based Treasury yields. When the historical yields change, the historical… …   Investment dictionary

  • Macaulay duration — The weighted average term to maturity of the cash flows from the bond, where the weights are the present value of the cash flow divided by the price. The New York Times Financial Glossary The earliest form of duration measurement. Developed in… …   Financial and business terms

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