Investment dictionary

MACAULAY DURATION

Macaulay Duration: translation

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.

Macaulay duration can be calculated by:

The metric is named after its creator, Frederick Macaulay. Macaulay duration is frequently used by portfolio managers who use an immunization strategy. Macaulay duration is also used to measure how sensitive a bond or a bond portfolio's price is to changes in interest rates.

  1. macaulay duration—Macaulay duration translation The weightedaverage term to maturity of the cash flows from the bond where the weights are the present value of the cash flow divided by the...Financial and business terms
  2. macaulay duration—фин. дюрация Маколеяduration Дюрация МаколеяСредневзвешенный срок до погашения потоков наличности от облигации где в качестве весов выступают текущие стоимости потоков ...Англо-русский экономический словарь