Monroe 3180 用户指南
MONROE TRADER II
22
DURATION
Duration is a measure of the timing of the cash flow (i.e., the interest payments and the principal
repayment) to be received from a given coupon security. The duration of the security is equal to (a) the
sum of the present values of each of the cash flows weighted by the time to receipt of each cash flow
divided by (b) the total of the present values of the cash flows. The duration of a bond is used by many
investors because it is a convenient way of combing the time elements of a security for coupons and term
to maturity.
The modified duration is the duration (computed as above) divided by ( 1 +Yield/coupons per year).
TRADER II will compute the duration for any coupon security (Codes 0, 1 and 6).
EXAMPLE:
repayment) to be received from a given coupon security. The duration of the security is equal to (a) the
sum of the present values of each of the cash flows weighted by the time to receipt of each cash flow
divided by (b) the total of the present values of the cash flows. The duration of a bond is used by many
investors because it is a convenient way of combing the time elements of a security for coupons and term
to maturity.
The modified duration is the duration (computed as above) divided by ( 1 +Yield/coupons per year).
TRADER II will compute the duration for any coupon security (Codes 0, 1 and 6).
EXAMPLE:
A 7.5% Municipal Bond maturing on November 9, 1989 is sold to yield 8%. Find the
dollar price and duration of the security.
ENTER PRESS RESULTS
DISPLAYED
0
CODE
Security Code 0.
6.2487
SETTLEMENT
Settlement Date Wed. 06-24-1987
Set the FED/MUNI switch and status line as follows:
FED/MUNI SWITCH to MUNI
ENTER PRESS RESULTS
DISPLAYED
7.5
COUPON Coupon
Rate
7.500%
11.0989
MAT
Maturity Date Thu.
11-09-1989
DATE
END
8
TO
Price
98.923
(M)
PRICE
DUR
Duration 2.200 Mod 2.115
Here’s some characteristics of Duration:
1.
If the bond has coupons, the duration of the bond will always be less than the term.
2.
If two bonds have the same maturity date, the bond with a larger coupon will have a shorter
duration.
duration.
3.
Generally, there is a positive relationship between term to maturity and duration. (Normally the
longer the term to maturity, the longer the duration.)
longer the term to maturity, the longer the duration.)
4.
In most cases, the higher the market yield, the lower the duration.
5.
Zero or stripped coupon bonds will have a duration equal to the term to maturity.
C=0 PER 30/360 SEMI 06-24-87 MATURITY