Fisher-Weil Duration
Fisher-Weil duration is a refinement of Macaulay’s duration which takes into account the term structure of interest rates.Fisher-Weil duration calculates the present values of the relevant cashflows (more strictly) by using the zero coupon yield for each respective maturity.
Read more about this topic: Bond Duration
Famous quotes containing the word duration:
“This pond never breaks up so soon as the others in this neighborhood, on account both of its greater depth and its having no stream passing through it to melt or wear away the ice.... It indicates better than any water hereabouts the absolute progress of the season, being least affected by transient changes of temperature. A severe cold of a few days’ duration in March may very much retard the opening of the former ponds, while the temperature of Walden increases almost uninterruptedly.”
—Henry David Thoreau (1817–1862)