Clarification of Dependence of the Macaulay Duration on the Period Until Maturity

Abstract

The article is dedicated to clarification of dependence of the Macaulay duration on the period until maturity by accounting the behavior of this indicator between coupon payments. The problem of dependence of bond duration on the period until maturity accounting the behavior of duration between coupon payments has not been considered before. It has been observed that the Macaulay duration varies linearly during a coupon period and in the end of the period the duration jumps in direct proportion to the period until maturity. The maximum jump for discount obligations is in the region of long periods until maturity. We have received evidence of how the jump depends on the period until maturity. The article contains calculations of how the duration jump depends on the period until maturity. These calculations confirm the proven statements. The obtained results may be useful for long-term investment problems.