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A Simple Formula for Duration: An Extension

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  • Moser, James T
  • Lindley, James T

Abstract

This paper extends a recent algorithm to calculate Macaulay's duration for the case of intraperiod coupon bounds. The extended algorithm overcomes errors introduced by bond-price formulae that incorrectly compound yields to maturity. These results simplify the computation of Macaulay's duration. Copyright 1989 by MIT Press.

Suggested Citation

  • Moser, James T & Lindley, James T, 1989. "A Simple Formula for Duration: An Extension," The Financial Review, Eastern Finance Association, vol. 24(4), pages 611-615, November.
    • Handle: RePEc:bla:finrev:v:24:y:1989:i:4:p:611-15
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    Cited by:

    1. Heck, Jean L. & Zivney, Terry L. & Modani, Naval K., 1995. "A simplified approach to measuring bond duration," Financial Services Review, Elsevier, vol. 4(1), pages 31-40.

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