Effective duration

Effective duration

The duration calculated using the approximate duration formula for a bond with an embedded option, reflecting the expected change in the cash flow caused by the option. Measures the responsiveness of a bond's price - taking into account that expected cash flows will change as interest rates change due to the embedded option.
References in periodicals archive ?
25 years; however, the fund had a significantly shorter effective duration of 0.
the effective duration of this agreement shall be from august 1, 2017 through july 31, 2019.
It seeks to offer diversified exposure to the national municipal bond market, representing bonds with maturities across the yield curve and an effective duration between 5-8 years.
Its effective duration, a gauge of how susceptible the notes are to losses when borrowing costs rise, is almost equal to the highest ever, and 10 percent above the decade-long average.
The authors find that there is less R&D investment in drugs that target patient groups with longer commercialization lags, as proxied by higher five-year survival rates, for which the effective duration of patent protection is shorter.
To overcome this problem, Kalotay, Williams, and Fabozzi (1993), Babbel, Merrill, and Panning (1997), and Gaiek, Ostaszewski, and Zwiesler (2005) propose effective duration as an alternative risk measure, which can also apply to measuring mortality risk.
The 10-20 year fund has an effective duration of 9.
In practice, the period between the filing of a patent request for a new drug and authorisation for the marketing of that product reduces the effective duration of patent protection to period deemed inadequate for recovering investment in research.
To help prevent corticosteroid-induced osteoporosis, use the lowest effective dose for the shortest effective duration, and, if possible, use local or targeted corticosteroids.
The benchmark index has an effective duration of 2.
the effective duration of any resulting contract will be from the date of award through may 31, 2018.
The index's construction utilises an optimisation process which has primary objectives of maximising exposure to our proprietary credit-score, while also maintaining an option adjusted spread and effective duration similar to the eligible universe.