Macaulay Duration (SOA Exam FM – Financial Mathematics – Module 4, Section 3, Part 1)

Описание к видео Macaulay Duration (SOA Exam FM – Financial Mathematics – Module 4, Section 3, Part 1)

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SOA Exam FM (Financial Mathematics) Module 4, Section 3, Part 1

After completing this video you should be able to:
- Define and recognize the definitions of the following terms: Macaulay duration.
- Calculate Macaulay duration.

Definition given in the video:

The Macaulay duration of a set of payments is the weighted average of the times of the payments, where the weight of the payment at time 𝑡 is equal to the present value of the payment at time 𝑡 divided by the present value of all the payments. (An interest rate must be given in order to get a numeric value.)

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