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Bonds & Fixed Income

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Bonds & Fixed Income

Macaulay Duration

The weighted average time until a bond's cash flows are received, with each time weighted by the present value of its cash flow.

Macaulay Duration = Sum of (Time x Present Value of Cash Flow) / Bond Price years Bonds & Fixed Income

Maturity

The date on which a bond's principal is repaid and the obligation ends.

Residual Maturity = Maturity Date - Today's Date, expressed in years years Bonds & Fixed Income

Modified Duration

The percentage change in a bond's price for a one-percentage-point change in yield.

Modified Duration = Macaulay Duration / (1 + Yield to Maturity / Number of Coupons per Year) years