From the course: Fixed Income Fundamentals

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Macaulay duration: Summary

Macaulay duration: Summary

From the course: Fixed Income Fundamentals

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Macaulay duration: Summary

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- [Instructor] A quick recap on Macaulay duration. Four things that are important to remember. Macaulay duration of a coupon bond will always be less than the maturity of a bond. As there is an inverse relationship between coupon and Macaulay duration, a zero-coupon bond will have a Macaulay duration equal to the maturity of that bond. There's also a positive relationship between maturity and Macaulay duration. A longer maturity bond will have a longer Macaulay duration than the same coupon, but shorter maturity bond. And lastly, yields in Macaulay duration have an inverse relationship because an increase in yield means that the cash flows further out are worth less or more discounted. So Macaulay duration would be shorter.

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