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Bridge over ocean
1 January 1990 Research Foundation

Closed-Form Duration Measures and Strategy Applications

Nelson J. Lacey and Sanjay K. Nawalkha

This study presents the major closed-form duration formulas and several applications for bond analysts. The intuition and techniques for calculating duration are presented concisely.

Closed-Form Duration Measures and Strategy Applications View the full book (PDF)

This study presents the major closed-form duration formulas and several applications for bond analysts. The intuition and techniques for calculating duration are presented concisely.

Publisher Information
The CFA Institute Research Foundation 30 pages