What is the difference between modified duration and Macaulay duration?

What is the difference between modified duration and Macaulay duration?

The Macaulay duration calculates the weighted average time before a bondholder would receive the bond’s cash flows. Conversely, the modified duration measures the price sensitivity of a bond when there is a change in the yield to maturity.

What is Macaulay duration of a zero coupon bond?

The Macaulay duration of a zero-coupon bond is equal to the time to maturity of the bond. Simply put, it is a type of fixed-income security that does not pay interest on the principal amount.

Why zero coupon bonds have a higher Macaulay duration?

Because zero coupon bonds make no coupon payments, a zero coupon bond’s duration will be equal to its maturity. The longer a bond’s maturity, the longer its duration, because it takes more time to receive full payment.

How do you calculate Macaulay duration in Excel?

The formula used to calculate a bond’s modified duration is the Macaulay duration of the bond divided by 1 plus the bond’s yield to maturity divided by the number of coupon periods per year. In Excel, the formula used to calculate a bond’s modified duration is built into the MDURATION function.

How can the concept of Macaulay duration be used to help gauge a bond’s price sensitivity to interest rate fluctuations?

Duration measures a bond’s or fixed income portfolio’s price sensitivity to interest rate changes. Macaulay duration estimates how many years it will take for an investor to be repaid the bond’s price by its total cash flows. Modified duration measures the price change in a bond given a 1% change in interest rates.

Is Macaulay duration longer than maturity?

With all the other factors constant, a bond with a longer term to maturity assumes a greater Macaulay duration, as it takes a longer period to receive the principal payment at the maturity. It also means that Macaulay duration decreases as time passes (term to maturity shrinks).

What is Macaulay duration in debt fund?

Macaulay Duration is a measure of how long it takes for the price of a bond to be repaid by its internal cash flows. Macaulay Duration is used only for an instrument with fixed cash flows. Modified Duration as the name suggests, is a modified version of the Macaulay model that accounts for changing interest rates.

What is Macaulay education system?

Macaulay spent the next four years in India, where he devoted his efforts to reforming the Indian criminal code, putting the British and natives on an equal legal footing, and to establishing an educational system based upon the British model, which involved introducing Indians to European ideas from the Renaissance.

What is the modified duration of a zero-coupon bond?

the modified duration of a zero-coupon bond is the time til maturity. for example, the modified duration of a 10-year, zero-coupon bond is ten years. if you purchase the above bond when it is halfway to maturity, the modified duration is half that, or equal to five years.

Quelle est la définition du formatage?

Définition L’action de détruire les fichiers sur disque dur est appelée formatage. Formater un disque dur permet d’effacer des données mais aussi de préparer un support informatique (par exemple : une disquette ou un disque dur) en y inscrivant un système de fichiers pour qu’il soit reconnu par le système…

Quel type de formatage existe-t-il?

Le formatage rend l’accès impossible aux données présentes sur le disque, cependant certains programmes (comme MediaRecover) permettent de recouvrer les données effacées. Il existe deux types de formatage : le formatage de haut-niveau et le formatage de bas niveau ou formatage à zéro.

Quelle est la procédure de réinstallation et de formatage?

Le procédure de réinstallation et de formatage peut différer en fonction des circonstances. Elle pourra changer de notre exemple si votre disque dur n’est pas partionné et/ou s’il ne contient déjà pas un système d’exploitation. Si vous arrivez à lire ces lignes, c’est que votre disque est dur est partionné et contient un système d’exploitation.