Calculating Duration, Lecture 021, Securities Investment 101

by Andy Duncan on 25/11/2013

Before we delve deeper into the mysteries of duration and convexity, now is a good opportunity to actually calculate duration, at least in its form as an average weighted cashflow period, known as Macaulay’s Duration. We do this both the long way, from first principles, and by using Excel’s built-in ‘DURATION’ command.

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