Macaulay duration and modified duration, Financial Management

Assignment Help:

We can also express Modified duration as follows:

          537_modified duration.png                                                                                    ...Eq. (3)

The expression in the brackets of the modified duration formula is given by equation (3) and is a measure created by Frederick Macaulay in 1938. This measure is known as Macaulay duration. Actually Macaulay duration is nothing but 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. Rewriting the formula of modified duration, we get:

         1438_modified duration1.png


Related Discussions:- Macaulay duration and modified duration

Rating symbols, Rating Symbol Capacity ...

Rating Symbol Capacity for Timely Repayment Rating Symbol Capacity for Timely Repay

Bank credit, Definition of 'Bank Credit': The amount of credit availab...

Definition of 'Bank Credit': The amount of credit available to a business or individual from the banking system. It is the aggregate of the amount of funds financial instituti

Financial ratio analysis, 1. Calculate the compound average annual growth r...

1. Calculate the compound average annual growth rate in sales and profit after tax

Enumerate the securities and investment analysis, Enumerate the Securities ...

Enumerate the Securities and Investment Analysis Purchase of bonds, stocks and othersecurities involve analysis and techniques which are highly specialized. An investorshoul

Explain difference among economic profit & producer surplus, What is the di...

What is the difference between economic profit and producer surplus? When economic profit is the difference among total revenue and total cost, producer surplus is the variatio

Risk of the complete portfolio, (a) Presume we have a portfolio of n name...

(a) Presume we have a portfolio of n names with some default correlation ρ . The risk of the complete portfolio moves according to the change in default correlation. Alternative

Expansion financing, The securing of the working capital needed for the sup...

The securing of the working capital needed for the support of raises in accounts receivable and inventory related with an organizations initial expansion time.

Price of equity shares, please give us the formula of price of equity share...

please give us the formula of price of equity shares of walter''s and gordon''s model

What is the basic approach of the financial management, Q. What is the basi...

Q. What is the basic Approach of the financial management ? 1) The first approach view finance as to providing the funds needed by a business on the most suitable terms. This ap

Evaluate the critical path, a) Definitions of EST and LFT needed in order t...

a) Definitions of EST and LFT needed in order to explain the differentiation between the terms. The EST of each activity will depend on the LFT of all preceding activities. b) S

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd