Show that Macaulay-duration is a weighted average of times to maturity where the weights w n are

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Show that Macaulay-duration is a weighted average of times to maturity

where the weights w_n are the fractions of the present value of the bond, represented by the n-th cashflow.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 10:03 AM

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Show that Macaulay-duration is a weighted average of times to maturity where the weights w n are

Question:

Macaulay-duration= >, wn(Tn – t), Σν.Τ n=1

Step by Step Answer:

Let P be the present value of the bond Then for each cash flow the ...View the full answer

A First Course in Quantitative Finance

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