A Simple Formula for Duration: An Extension

James Moser and James T Lindley

The Financial Review, 1989, vol. 24, issue 4, 611-15

Abstract: This paper extends a recent algorithm to calculate Macaulay's duration for the case of intraperiod coupon bounds. The extended algorithm overcomes errors introduced by bond-price formulae that incorrectly compound yields to maturity. These results simplify the computation of Macaulay's duration. Copyright 1989 by MIT Press.

Date: 1989
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