The Macaulay duration of a perpetuity bond in the period between coupon payments

Macaulayova durace perpetuity v době mezi výplatou kupónu

Bohumil Stádník

Český finanční a účetní časopis, 2024, vol. 2024, issue 2, 43-50

Abstract: In this paper, we deal with the derivation of the mathematical equation for the Macaulay duration of a perpetuity (hereinafter referred to as "Mac. duration") bond in the period between coupon payments. According to our findings, this equation is not included in the commonly available literature and is limited only to the equation for calculating Mac. duration at the moment when exactly one full coupon period remains before the payment of the nearest coupon. In a mathematical derivation, we come to a conclusion, which is consistent with financial intuition, that the Mac. duration of the perpetuity does not depend on the size of the coupon, but is dependent on the internal rate of return of the perpetuity and decreases as the moment of payment of the nearest coupon approaches.

Keywords: Macaulay duration of perpetuity; The price of perpetuity in the period between coupon payments; Macaulayova durace perpetuity; Cena perpetuity v období mezi výplatou kupónů (search for similar items in EconPapers)
JEL-codes: G10 G23 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.18267/j.cfuc.594

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