EconPapers    
Economics at your fingertips  
 

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: 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)
Date: 2014
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-37277-2_6

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137372772

DOI: 10.1057/9781137372772_6

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-09-14
Handle: RePEc:pal:palchp:978-1-137-37277-2_6