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Effective duration |
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Definition of Effective durationEffective durationThe duration calculated using the approximate duration formula for a bond with an
Related Terms:Blue Ribbon Committee on Improving the Effectiveness of Corporate Audit CommitteesA committee formed in response to SEC chairman Arthur Levitt's initiative to improve the financial Dollar durationThe product of modified duration and the initial price. DurationA common gauge of the price sensitivity of an asset or portfolio to a change in interest rates. DurationThe weighted average of the time until maturity of each of the DurationThe expected life of a fixed-income security considering its coupon DurationThe time it takes for a policy or annuity to reach maturity. Effective annual interest rateAn annual measure of the time value of money that fully reflects the effects of effective annual interest rateInterest rate that is annualized using compound interest. Effective annual yieldAnnualized interest rate on a security computed using compound interest techniques. Effective Annual YieldAnnualized rate of return on a security computed using compound Effective call priceThe strike price in an optional redemption provision plus the accrued interest to the Effective convexityThe convexity of a bond calculated with cash flows that change with yields. Effective dateIn an interest rate swap, the date the swap begins accruing interest. Effective Exchange RateThe weighted average of several exchange rates, where the weights are determined by the extent of our trade done with each country. Effective Interest RateThe rate of interest actually earned on an investment. It is Effective margin (EM)Used with SAT performance measures, the amount equaling the net earned spread, or Effective rateA measure of the time value of money that fully reflects the effects of compounding. Effective spreadThe gross underwriting spread adjusted for the impact of the announcement of the common Effective Tax RateThe total tax provision divided by pretax book income from continuing effectivenessa measure of how well an organization’s goals Macaulay durationThe weighted-average term to maturity of the cash flows from the bond, where the Macaulay durationA widely used measure of price sensitivity to yield Modified durationThe ratio of Macaulay duration to (1 + y), where y = the bond yield. Modified duration is Modified durationThe Macaulay duration discounted by the per-period Mortgage durationA modification of standard duration to account for the impact on duration of MBSs of Negative durationA situation in which the price of the MBS moves in the same direction as interest rates. Panel on Audit EffectivenessA special committee of the Public Oversight Board that was created Policy-Ineffectiveness PropositionTheory that anticipated policy has no effect on output.
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