SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION

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...

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Autor principal:	Natalia V. Popova
Formato:	article
Lenguaje:	RU
Publicado:	Plekhanov Russian University of Economics 2017
Materias:	term to maturity, macaulay's duration jump of duration mathematical methods Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/18d5582358b8425fa3223bc0ce95c8d7
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id	oai:doaj.org-article:18d5582358b8425fa3223bc0ce95c8d7
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spelling	oai:doaj.org-article:18d5582358b8425fa3223bc0ce95c8d72021-11-15T05:20:45ZSPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION2413-28292587-925110.21686/2413-2829-2017-3-142-150https://doaj.org/article/18d5582358b8425fa3223bc0ce95c8d72017-09-01T00:00:00Zhttps://vest.rea.ru/jour/article/view/303https://doaj.org/toc/2413-2829https://doaj.org/toc/2587-9251The 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.Natalia V. PopovaPlekhanov Russian University of Economicsarticleterm to maturity, macaulay's durationjump of durationmathematical methodsEconomics as a scienceHB71-74RUВестник Российского экономического университета имени Г. В. Плеханова, Vol 0, Iss 3, Pp 142-150 (2017)
institution	DOAJ
collection	DOAJ
language	RU
topic	term to maturity, macaulay's duration jump of duration mathematical methods Economics as a science HB71-74
spellingShingle	term to maturity, macaulay's duration jump of duration mathematical methods Economics as a science HB71-74 Natalia V. Popova SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
description	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.
format	article
author	Natalia V. Popova
author_facet	Natalia V. Popova
author_sort	Natalia V. Popova
title	SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
title_short	SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
title_full	SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
title_fullStr	SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
title_full_unstemmed	SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION
title_sort	specific features of macaulay duration dependence on period to redemption
publisher	Plekhanov Russian University of Economics
publishDate	2017
url	https://doaj.org/article/18d5582358b8425fa3223bc0ce95c8d7
work_keys_str_mv	AT nataliavpopova specificfeaturesofmacaulaydurationdependenceonperiodtoredemption
_version_	1718428728553373696

SPECIFIC FEATURES OF MACAULAY DURATION DEPENDENCE ON PERIOD TO REDEMPTION

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