Finanzmathematik, 3rd Edition

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AAnhang

A.1Herleitung der Duration nach Macaulay

Die Macaulay-Duration eines Standardbonds des Nennwerts C mit dem Kuponzins iK ist gemäß 6.19 bei einem Marktzins i = q – 1 wie folgt definiert:

Um aus dieser Definition die Berechnungsformel 6.20 herzuleiten, werden wir zunächst den Zähler von 6.19 umformen:

images

Der Nenner der Formel 6.19 ist der Kurswert ...

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