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单词 Macaulay duration
释义

Macaulay duration

Definition
Approximate measure of the price volatility and interest rate-sensitivity of a fixed-income financial instrument such as an interest bearing bond. It is computed as the weighted average time remaining until receipt of a series of cash flows from the instrument, the weights being the present value of the cash flow divided by the instrument's price. Invented in 1938 by the US academic Frederick Macaulay. See also modified duration.
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更新时间:2025/5/9 10:25:43