What is MACAULAY DURATION?

In 1938 US academic Frederick Macaulay defined this tool. A fixed-income financial instrument's approximate measure of its price volatility and interest rate-sensitivity. An interest bearing bond is an instrument example. Calculated as weighted average time left until a series of cash flows from the instrument are received. The weights are the present cash flow value divided by the instrument's price. Also refer to modified duration.

More On This Topic




Link to This Definition

Did you find this definition of MACAULAY DURATION helpful? You can share it by copying the code below and adding it to your blog or web page.
Written and fact checked by The Law Dictionary