Durations: Effective, Macaulay, Modified, Dollar
1. Context
In this swatch, we take a comparative look at various types of duration – Effective Duration vs Macaulay Duration vs Modified Duration vs Dollar Duration. The short video below helps simplify each of these and presents the connections between them. The details of the reading in which this topic appears are given below:
| Area | Valuation and Risk Models |
| Reading | One Factor Risk Metrics and Hedges |
| Reference | Bruce Tuckman, Chapter 4. One-Factor Risk Metrics and Hedges In Fixed Income Securities, 3rd Edition, (Hoboken, NJ: John Wiley & Sons, 2011). |