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A non-calculus Analysis of Macaulay’s Coupon Bond Duration Properties

Bond duration is one of the primary risk measures for bonds. In the paper Gardijan et al., 2012, an analysis of cupon bond duration has been given. The authors have treated Macauly’s coupon bond duration without the use of differential calculus, in contrary to other literature which use calculus. However, they did not give a complete a nalysis of bond duration properties, so this paper fills that gap. Since the application of calculus may be complicated or inappropriate if the considered function is not differentiable (as is the case with the bond duration function), here the bond duration properties are proved by means of elementary algebra. This provides an easier to understand the problem and bring it to broader audience who is not necessarly familiar with tools of mathematical analysis.

bond duration ; bond duration properties ; elementary algebra ; without calculus

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