Macaulay Duration (SOA Exam FM – Financial Mathematics – Module 4, Section 3, Part 1)
Автор: AnalystPrep
Загружено: 2020-06-30
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Master Macaulay Duration for SOA Exam FM. In this lesson, Professor Stephen Paris explains what duration measures, why it matters for bonds, and how to compute Macaulay Duration using present value weights. You will learn the definition, the intuition with a simple timeline, the summation formula, and how it differs from a basic average of payment times.
Use this with our full FM study notes, question bank, and video series for complete exam prep.
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SOA Exam FM (Financial Mathematics) Module 4, Section 3, Part 1
After completing this video you should be able to:
Define and recognize the definitions of the following terms: Macaulay duration.
Calculate Macaulay duration.
Definition given in the video:
The Macaulay duration of a set of payments is the weighted average of the times of the payments, where the weight of the payment at time 𝑡 is equal to the present value of the payment at time 𝑡 divided by the present value of all the payments. (An interest rate must be given in order to get a numeric value.)
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