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A common gauge of the price sensitivity of a fixed income asset or portfolio to a change in interest rates.


The amount by which a bond's price increases or decreases as the result of a 1% change in interest rates. When interest rates rise above a bond's own interest rate, its price usually declines because an investor can earn a higher yield with another bond. Likewise, when interest rates fall, the bond's price usually rises. Duration measures how much the price changes and, for that reason, is a measure of a bond's volatility.


The number of years required to receive the present value of future payments, both interest and principal, from a bond. Duration is determined by calculating the present value of the principal and each coupon and then multiplying each result by the period of time before payment is to occur. The concept of duration is used to relate the sensitivity of bond price changes to changes in interest rates. Also called mean term.


In simplified terms, a bond's duration measures the effect that each 1% change in interest rates will have on the bond's market value.

Unlike the maturity date, which tells you when the issuer has promised to repay your principal, duration, which takes the bond's interest payments into account, helps you to evaluate how volatile the bond's price will be over time.

Basically, the longer the duration -- expressed in years -- the more volatile the price. So a 1% change in interest rates will have less effect on the price of a bond with a duration of 2 than it will on the price of a bond with a duration of 5.

References in periodicals archive ?
Studies on Livonian tones have shown that the duration of the stressed syllables in words with stod is usually smaller than the syllable duration in words with the plain tone (e.
Duration of exercise is important, and sustaining physical activity for up to an hour even at a low or moderate intensity should be the first priority for anyone new to a workout program.
The prospectus for the DoubleLine Long Duration Total Return Bond Fund is available at the following online address: http://doublelinefunds.
Treasury bonds from the data sources described in the previous section, we compute the Macaulay duration of each bond each month to form a monthly time series of the aggregate duration risk of U.
Depression also was strongly associated with sleep duration and symptoms of insufficient sleep (adjusted OR, 7.
It emerged that whereas students predicted that duration knowledge would improve their negative experience, in fact it rendered the experience worse.
The contribution of this article is that we discover interesting characteristics of the reserve durations of individual policies and explicitly estimate the duration of aggregate reserves.
Given the evident importance of hospitals' compliance with the initiative's criteria for prolonging the duration of breast-feeding, "monitoring of compliance in designated hospitals is indispensable for promoting the optimal effects of the BFHI," they contend.
The median (range) duration between onset of symptoms and first positive RT-PCR test result was 6 (3-10) days for stool and 6 (3-16) days for sputum.
The retrospective approach is based on the inclusion of couples who already had a pregnancy; prospective approaches (detailed and not) are most often based on the inclusion of couples who will soon discontinue contraceptive use; and the current duration approach is based on the inclusion of couples currently trying to conceive.
All food deliveries were 1 s in duration from the moment the hopper photobeam was intercepted.