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Definition of Macaulay duration
The weighted-average term to maturity of the cash flows from the bond, where the
A widely used measure of price sensitivity to yield
The ratio of macaulay duration to (1 + y), where y = the bond yield. Modified duration is
The expected life of a fixed-income security considering its coupon
The macaulay duration discounted by the per-period
The product of modified duration and the initial price.
A common gauge of the price sensitivity of an asset or portfolio to a change in interest rates.
The duration calculated using the approximate duration formula for a bond with an
A modification of standard duration to account for the impact on duration of MBSs of
A situation in which the price of the MBS moves in the same direction as interest rates.
The weighted average of the time until maturity of each of the
The time it takes for a policy or annuity to reach maturity.
A yield curve for zero-coupon bonds;
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