An Accurate Formula Is Derived for the Impact of a Shift in Yield on the Price of a Bond
Michael Osborne ()
Chapter 6 in Multiple Interest Rate Analysis: Theory and Applications, 2014, pp 82-91 from Palgrave Macmillan
Abstract A new formula for the duration of a bond is derived. The formula is wholly real and provides accurate results. The formula gives the concept of duration new meaning, demonstrating that the word ‘duration’ is a misnomer.
Keywords: bond; complex number; duration; elasticity; fixed income; Macaulay; multiple; yield (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-37277-2_6
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