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The duration of an equity is a noisy analogue of the Macaulay duration of a bond, due to the variability and unpredictability of dividend payments. The duration of a stock or the stock market is implied rather than deterministic. Duration of the U.S. stock market as a whole, and most individual stocks within it, is many years to a few decades.
Thus modified duration is approximately equal to the percentage change in price for a given finite change in yield. So a 15-year bond with a Macaulay duration of 7 years would have a modified duration of roughly 7 years and would fall approximately 7% in value if the interest rate increased by one percentage point (say from 7% to 8%). [20]
Formulas in the B column multiply values from the A column using relative references, and the formula in B4 uses the SUM() function to find the sum of values in the B1:B3 range. A formula identifies the calculation needed to place the result in the cell it is contained within. A cell containing a formula, therefore, has two display components ...
In other words, = = where the sum is across all key rate maturities. The sum of an instrument's key rate durations is approximately equal to its modified duration. The sum may not be exact because modified duration assumes a flat yield curve, which is seldom the case.
The U.S. ambassador to Mexico, Ken Salazar, said on Wednesday that the country is not safe and criticized the previous president for a failed security policy and refusing to accept American ...
Go to the main AOL page.; Click Sign in in the upper right hand corner.; Click Create an account at the bottom of the screen.; Enter and submit the requested information.
An intact prehistoric mastodon jaw was discovered in the backyard of a Hudson Valley house after the homeowner initially saw a pair of teeth poking up by a plant, according to state officials.
An example of semi-elasticity is modified duration in bond trading. The opposite definition is sometimes used in the literature. That is, the term "semi-elasticity" is also sometimes used for the change (not percentage-wise) in f(x) in terms of a percentage change in x [ 9 ] which would be
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