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On the relationship between Macaulay's bond duration and the term to maturity

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
16
Identifiers
DOI: 10.1016/0165-1765(84)90185-x
Disciplines
  • Mathematics

Abstract

Abstract This letter presents a mathematically tractable expression of Macaulay's bond duration which is then used to examine analytically the relationship between a bond's duration and its term to maturity.

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