DURATION Flashcards by Kat Aitken

Q

duration

A

Weighted average time of cash flows

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Q

Modified duration measures

A

Price sensitivity to yield

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Q

Duration rule

A

Δ𝑃/𝑃 ≈ −𝐷 × Δ𝑦

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Q

Zero-coupon duration

A

Equals maturity

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Q

Effect of lower coupon

A

Higher duration

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Q

Effect of longer maturity

A

Higher duration

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Q

Effect of lower yield

A

Higher duration

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