| Article ID: | iaor201522818 |
| Volume: | 8 |
| Issue: | 3 |
| Start Page Number: | 245 |
| End Page Number: | 249 |
| Publication Date: | Sep 1985 |
| Journal: | Journal of Financial Research |
| Authors: | Caks John, Lane William R, Greenleaf Robert W, Joules Reginald G |
| Keywords: | investment |
This paper presents a simplification of Macaulay's formula for duration. The derivation treats any bond as a portfolio of a coupon bearing bond at par and a zero‐coupon bond. The resultant equations are simple to use and show how coupon payments, premiums, and discounts affect duration. The equations are easily modified without loss of simplicity for various coupon payment intervals and for calculations between payment periods.