Voir iotafinance en FrançaisYou are viewing the English version of iotafinance.comIotafinance auf Deutsch sehen
Icon for the finance formula section

Macaulay duration formula

Description of the Macaulay duration formula

Formula for the calculation of a bond's Macaulay duration.

Formula

\[ D=\frac{\sum_{t=1}^{N}\frac{t \cdot C_{t}}{\left ( 1+i \right )^{t}}}{\sum_{t=1}^{N}\frac{C_{t}}{\left ( 1+i \right )^{t}}} \ \]

Symbols

\(C\ \)       
Cash flow (coupon or principal)
\(i\ \)       
Yield
\(N\ \)       
Total number of annuities (number of years times number of payments per year)
\(t\ \)       
Time until the payment of the cash flow (full years and year fraction)