Clarification of Dependence of the Macaulay Duration on the Period Until Maturity
N V Popova
N V Popova
Available Online 17 March 2020.
- https://doi.org/10.2991/aebmr.k.200312.410How to use a DOI?
- The article is dedicated to clarification of dependence of the Macaulay duration on the period until maturity by accounting the behavior of this indicator between coupon payments. The problem of dependence of bond duration on the period until maturity accounting the behavior of duration between coupon payments has not been considered before. It has been observed that the Macaulay duration varies linearly during a coupon period and in the end of the period the duration jumps in direct proportion to the period until maturity. The maximum jump for discount obligations is in the region of long periods until maturity. We have received evidence of how the jump depends on the period until maturity. The article contains calculations of how the duration jump depends on the period until maturity. These calculations confirm the proven statements. The obtained results may be useful for long-term investment problems.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - N V Popova PY - 2020 DA - 2020/03/17 TI - Clarification of Dependence of the Macaulay Duration on the Period Until Maturity BT - Proceedings of the International Scientific Conference "Far East Con" (ISCFEC 2020) PB - Atlantis Press SP - 2873 EP - 2878 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200312.410 DO - https://doi.org/10.2991/aebmr.k.200312.410 ID - Popova2020 ER -