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- Bond_duration abstract "In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received.When an asset is considered as a function of yield, duration also measures the price sensitivity to yield, the rate of change of price with respect to yield or the percentage change in price for a parallel shift in yields.The dual use of the word "duration", as both the weighted average time until repayment and as the percentage change in price, often causes confusion. Strictly speaking, Macaulay duration is the name given to the weighted average time until cash flows are received, and is measured in years. Modified duration is the name given to the price sensitivity and is the percentage change in price for a unit change in yield. Both measures are termed "duration" and have the same (or close to the same) numerical value, but it is important to keep in mind the conceptual distinctions between them. Macaulay duration is a time measure with units in years, and really makes sense only for an instrument with fixed cash flows. For a standard bond the Macaulay duration will be between 0 and the maturity of the bond. It is equal to the maturity if and only if the bond is a zero-coupon bond.Modified duration, on the other hand, is a derivative (rate of change) or price sensitivity and measures the percentage rate of change of price with respect to yield. (Price sensitivity with respect to yields can also be measured in absolute (dollar) terms, and the absolute sensitivity is often referred to as dollar duration, DV01, BPV, or delta (δ or Δ) risk). The concept of modified duration can be applied to interest-rate sensitive instruments with non-fixed cash flows, and can thus be applied to a wider range of instruments than can Macaulay duration. Modified duration is used more than Macaulay duration.For every-day use, the equality (or near-equality) of the values for Macaulay and modified duration can be a useful aid to intuition. For example a standard ten-year coupon bond will have Macaulay duration somewhat but not dramatically less than 10 years and from this we can infer that the modified duration (price sensitivity) will also be somewhat but not dramatically less than 10%. Similarly, a two-year coupon bond will have Macaulay duration somewhat below 2 years, and modified duration somewhat below 2%. (For example a ten-year 5% par bond has a modified duration of 7.8% while a two-year 5% par bond has a modified duration of 1.9%.)".
- Bond_duration thumbnail Macaulay_duration_example.jpeg?width=300.
- Bond_duration wikiPageExternalLink duration_and_convexity.
- Bond_duration wikiPageExternalLink advancedbond5.asp.
- Bond_duration wikiPageID "847478".
- Bond_duration wikiPageLength "33200".
- Bond_duration wikiPageOutDegree "46".
- Bond_duration wikiPageRevisionID "683614110".
- Bond_duration wikiPageWikiLink Asset.
- Bond_duration wikiPageWikiLink Bond_(finance).
- Bond_duration wikiPageWikiLink Bond_convexity.
- Bond_duration wikiPageWikiLink Bond_duration_closed-form_formula.
- Bond_duration wikiPageWikiLink Bond_valuation.
- Bond_duration wikiPageWikiLink Cash_flow.
- Bond_duration wikiPageWikiLink Cash_flows.
- Bond_duration wikiPageWikiLink Category:Fixed_income_analysis.
- Bond_duration wikiPageWikiLink Convex_function.
- Bond_duration wikiPageWikiLink Day_count_convention.
- Bond_duration wikiPageWikiLink Derivative.
- Bond_duration wikiPageWikiLink Elasticity_(economics).
- Bond_duration wikiPageWikiLink Elasticity_of_a_function.
- Bond_duration wikiPageWikiLink Embedded_option.
- Bond_duration wikiPageWikiLink File:Macaulay_duration_example.jpeg.
- Bond_duration wikiPageWikiLink Finance.
- Bond_duration wikiPageWikiLink Frederick_Macaulay.
- Bond_duration wikiPageWikiLink Gaussian_distribution.
- Bond_duration wikiPageWikiLink Greeks_(finance).
- Bond_duration wikiPageWikiLink Immunization_(finance).
- Bond_duration wikiPageWikiLink Interest_rate.
- Bond_duration wikiPageWikiLink Interest_rate_swap.
- Bond_duration wikiPageWikiLink Joint_distribution.
- Bond_duration wikiPageWikiLink Joint_probability_distribution.
- Bond_duration wikiPageWikiLink Linear.
- Bond_duration wikiPageWikiLink Linearity.
- Bond_duration wikiPageWikiLink List_of_finance_topics.
- Bond_duration wikiPageWikiLink Monte_Carlo_method.
- Bond_duration wikiPageWikiLink Monte_Carlo_simulation.
- Bond_duration wikiPageWikiLink Mutual_fund.
- Bond_duration wikiPageWikiLink Normal_distribution.
- Bond_duration wikiPageWikiLink Option-adjusted_spread.
- Bond_duration wikiPageWikiLink Option_Adjusted_Spread.
- Bond_duration wikiPageWikiLink Option_delta.
- Bond_duration wikiPageWikiLink Option_pricing.
- Bond_duration wikiPageWikiLink Outline_of_finance.
- Bond_duration wikiPageWikiLink Portfolio_(finance).
- Bond_duration wikiPageWikiLink Present_value.
- Bond_duration wikiPageWikiLink Securities_Industry_and_Financial_Markets_Association.
- Bond_duration wikiPageWikiLink Semi-elasticity.
- Bond_duration wikiPageWikiLink Stock_duration.
- Bond_duration wikiPageWikiLink Valuation_of_options.
- Bond_duration wikiPageWikiLink Value_at_risk.
- Bond_duration wikiPageWikiLink Weighted_arithmetic_mean.
- Bond_duration wikiPageWikiLink Weighted_average.
- Bond_duration wikiPageWikiLink Yield_(finance).
- Bond_duration wikiPageWikiLink Yield_curve.
- Bond_duration wikiPageWikiLink Yield_to_maturity.
- Bond_duration wikiPageWikiLink Zero-coupon_bond.
- Bond_duration wikiPageWikiLinkText "Bond duration".
- Bond_duration wikiPageWikiLinkText "Bond duration#Average duration".
- Bond_duration wikiPageWikiLinkText "Bond duration#DV01".
- Bond_duration wikiPageWikiLinkText "Bond duration#Fisher–Weil duration".
- Bond_duration wikiPageWikiLinkText "Bond duration#Macaulay duration".
- Bond_duration wikiPageWikiLinkText "Bond_duration".
- Bond_duration wikiPageWikiLinkText "Bond_duration#Spread_duration".
- Bond_duration wikiPageWikiLinkText "Duration".
- Bond_duration wikiPageWikiLinkText "bond duration".
- Bond_duration wikiPageWikiLinkText "duration".
- Bond_duration wikiPageWikiLinkText "intermediate duration".
- Bond_duration hasPhotoCollection Bond_duration.
- Bond_duration wikiPageUsesTemplate Template:Bond_market.
- Bond_duration wikiPageUsesTemplate Template:Citation.
- Bond_duration wikiPageUsesTemplate Template:Citation_needed.
- Bond_duration wikiPageUsesTemplate Template:Financial_markets.
- Bond_duration wikiPageUsesTemplate Template:Main.
- Bond_duration wikiPageUsesTemplate Template:Reflist.
- Bond_duration wikiPageUsesTemplate Template:Visible_anchor.
- Bond_duration subject Category:Fixed_income_analysis.
- Bond_duration hypernym Average.
- Bond_duration type Article.
- Bond_duration type Settlement.
- Bond_duration type Article.
- Bond_duration comment "In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received.When an asset is considered as a function of yield, duration also measures the price sensitivity to yield, the rate of change of price with respect to yield or the percentage change in price for a parallel shift in yields.The dual use of the word "duration", as both the weighted average time until repayment and as the percentage change in price, often causes confusion. ".
- Bond_duration label "Bond duration".
- Bond_duration sameAs Varighed.
- Bond_duration sameAs Duration.
- Bond_duration sameAs Duración_de_Macaulay.
- Bond_duration sameAs دیرش.
- Bond_duration sameAs Duraatio.
- Bond_duration sameAs Duration.
- Bond_duration sameAs Átlagidő.
- Bond_duration sameAs Duration.
- Bond_duration sameAs デュレーション.
- Bond_duration sameAs 듀레이션.
- Bond_duration sameAs Duration.
- Bond_duration sameAs Durasjon.
- Bond_duration sameAs Czas_trwania_obligacji.
- Bond_duration sameAs m.03gqqy.
- Bond_duration sameAs Дюрация.
- Bond_duration sameAs Duration.
- Bond_duration sameAs อายุเฉลี่ยของตราสารหนี้.