CFA level 2 · 24. avril 2023

Macaulay duration is a measure of a bond's price sensitivity to changes in interest rates, expressed in years. It takes into account the timing and size of all of the bond's cash flows, including interest payments and the principal repayment at maturity, and calculates the present value-weighted average time until each cash flow is received. Macaulay duration is useful for determining the average maturity of a bond's cash flows and for comparing the interest rate risk of bonds with different...