Proceedings of the International Scientific Conference "Far East Con" (ISCFEC 2020)

Clarification of Dependence of the Macaulay Duration on the Period Until Maturity

Authors
N V Popova
Corresponding Author
N V Popova
Available Online 17 March 2020.
DOI
https://doi.org/10.2991/aebmr.k.200312.410How to use a DOI?
Abstract
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.

Download article (PDF)

Proceedings
International Scientific Conference "Far East Con" (ISCFEC 2020)
Part of series
Advances in Economics, Business and Management Research
Publication Date
17 March 2020
ISBN
978-94-6252-929-8
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.200312.410How to use a DOI?
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  - 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  -