SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION

Abstract

The article is devoted to taking into account the behavior of the duration indicator between coupon payments in dependence of this indicator from term to maturity. It was found that during the coupon period Macaulay duration varies linearly and at the end of the period duration has a jump, the value of which increases with the term to maturity for bonds sold with a premium and at par. For bonds that are sold at a discount, the value of the jump has a maximum in the region of large maturities. The mathematical proof of the behavior of the jump obtained. The calculations confirm the assertion proven. The results allow to clarify the dependence of Macaulay duration of the period to maturity and complement the theory of financial investments in fixed income.

Keywords

• term to maturity, macaulay's duration
• jump of duration
• mathematical methods