Duration Analytic

From Open Risk Manual

Definition

Duration Analytic. Weighted average time to receipt of all the payments.


Issues and Challenges

Duration in general is a measure of % price change for a given change in yield. See definition from BMB The duration on a traditional bond will be much shorter than the duration relative to the maturity. Duration is the first derivative of the curve between Price and Yield. There are multiple types of duration, all of which are variants of this. So Duration is the first derivative and the different type of duration measure are different ways of measuring this, for example a "quick and dirty" measure of duration or one which.

Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.