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Bonds & Fixed Income

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Macaulay Duration Bonds & Fixed Income years 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 Maturity Bonds & Fixed Income years The date on which a bond's principal is repaid and the obligation ends. Residual Maturity = Maturity Date - Today's Date, expressed in years Modified Duration Bonds & Fixed Income years 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)