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Macaulay duration

   Also found in: Wikipedia 0.01 sec.
Macaulay duration
The weighted-average term to maturity of the cash flows from a bond, where the weights are the present value of the cash flow divided by the price.
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t] which is close to the Macaulay duration calculation.
The treatment of credit risk in the Basel Accord and financial ... by Lamy, Marie-Florence / International Journal of Business
8 Macaulay duration assumes the yield curve is flat and that it shifts in parallel to its original position.
Indexed sinking fund debentures: valuation and analysis by Finnerty, John D. / Financial Management
The Macaulay duration of an instrument can be calculated by first multiplying the time until the receipt of each cash flow by the ratio of the present value of that cash flow to the instrument's total present value.
A method for evaluating interest rate risk in U.S. commercial banks by Embersit, James A. / Federal Reserve Bulletin
 
 
 
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