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Definition of Macaulay duration
A widely used measure of price sensitivity to yield
The weighted-average term to maturity of the cash flows from the bond, where the
The expected life of a fixed-income security considering its coupon
The ratio of macaulay duration to (1 + y), where y = the bond yield. Modified duration is
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 weighted average of the time until maturity of each of the
The time it takes for a policy or annuity to reach maturity.
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.
A yield curve for zero-coupon bonds;
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