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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
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DOI: 10.1057/9781137372772_6

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Handle: RePEc:pal:palchp:978-1-137-37277-2_6