Guide to Duration Formula and its meaning. Here we explain how to calculate using practical examples and a downloadable Excel template.

Key Highlights Duration is a way of measuring the interest rate risk of an individual or portfolio of fixed income securities. Pure, or Macaulay duration, is calculated by discounting all cash flows …

Bond duration is a fundamental concept in fixed-income investing. It measures the sensitivity of a bond’s price to changes in interest rates by calculating the weighted average time it takes to …

Money duration equals price times modified duration under the stated convention. DV01 depends on the bumped quantity, for example a par rate, a zero rate or a yield to maturity.

Jul 16, 2025 · In investing, duration is the number of years it takes to recoup a bond’s true cost, based on the present value of all future coupon and principal payments.

Sep 7, 2023 · Macaulay Duration, named after economist Frederick Macaulay, is a measure of a bond's sensitivity to interest rate changes. It calculates the weighted average time it takes to …

Nov 25, 2025 · Understand bond duration, how to calculate it using the bond duration formula, and why duration matters in fixed-income analysis.

Sep 12, 2019 · Explore Macaulay, modified, and effective durations, their formulas, and how they measure bond price sensitivity. Learn about effective vs. modified duration.

Jan 24, 2024 · Bond duration, in its simplest sense, measures the average time period it will take, in years, for an investor to be repaid the bond’s price by the bond’s total cash flows. In other …

The Macaulay duration of a bond is the weighted average maturity of cash flows, which acts as a measure of a bond's sensitivity to interest rate changes. Bonds with a higher duration will carry …