Duration
121Macaulay duration — The weighted average term to maturity of the cash flows from the bond, where the weights are the present value of the cash flow divided by the price. The New York Times Financial Glossary The earliest form of duration measurement. Developed in… …
122option-adjusted duration — A duration measure that does allow for changes in cash flows as yields change A variation of effective or empirical duration. Option adjusted duration incorporates the expected duration shortening effect of an issuer s embedded call provision. It …
123Effective Duration — A duration calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change. Effective duration can be estimated using modified duration if the bond with embedded… …
124Macaulay Duration — The weighted average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing the present value of the cash flow by the price, and is a measure of bond price volatility with respect to interest rates …
125partial duration — A duration measure calculated by changing one variable while all other variable are held constant. The most common example Is key rate duration where all variables are held constant except the yield for a specific maturity point on the yield… …
126Autoregressive conditional duration — In financial econometrics, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction (a… …
127Perception of duration — Human perception of duration is subjective and variable. For example, time may appear to slow or drag as one eagerly anticipates the arrival of a specific event. A school day may seem endless for a student who is waiting for the bell indicating… …
128Key Rate Duration — Holding all other maturities constant, this measures the sensitivity of a security or the value of a portfolio to a 1% change in yield for a given maturity. The calculation is as follows: Where: P = Security s price after a 1% decrease in yield… …
