macaulay duration

См. также в других словарях:

• 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 the present value of the cash flow by the price, and is a measure of bond price volatility with respect to interest rates …   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

• Macaulay — Macaulay, MacAulay, or McAulay may refer to: Contents 1 Name 1.1 Surname 2 People 2.1 Surname 2.2 Gi …   Wikipedia

• Duration — Die Duration ist eine Sensitivitätskennzahl, die die durchschnittliche Kapitalbindungsdauer einer Geldanlage in einem festverzinslichen Wertpapier bezeichnet. Genauer genommen und allgemein formuliert ist die Duration der gewichtete Mittelwert… …   Deutsch Wikipedia

• 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 — La duration d un instrument financier à taux fixe, comme une obligation, est la durée de vie moyenne de ses flux financiers pondérée par leur valeur actualisée. Toutes choses étant égales d ailleurs, plus la duration est élevée, plus le risque… …   Wikipédia en Français

• Duration — Du*ra tion, n. [OF. duration. See {Dure}.] The state or quality of lasting; continuance in time; the portion of time during which anything exists. [1913 Webster] It was proposed that the duration of Parliament should be limited. Macaulay. [1913… …   The Collaborative International Dictionary of English

• 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

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

• 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

• 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