Naslov
Technical Note: The Shape of the Macaulay's Duration as the Function of Coupon Bond Maturity Derived Without Derivatives

Autori
Kojić, Vedran ; Lukač, Zrinka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 14th International Symposium on Operational Research SOR'17 / Zadnik Stirn L., Kljajić Borštnar M., Žerovnik J., Drobne S. - Ljubljana : Slovensko društvo informatika, 2017, 332-337

ISBN
987-961-6165-50-1

Skup
The 14th International Symposium on Operational Research in Slovenia – SOR'17

Mjesto i datum
Bled, Slovenija, 27.09.2017. - 29.09.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
coupon bond, Macaulay's duration, bond maturity, sequence of real numbers, without derivatives

Sažetak
In literature, the common approach is to consider Macaulay’s duration of coupon bonds as a differentiable function. However, in reality bond maturity is a discrete variable, meaning that Macaulay’s duration, as a function of maturity, is in fact a sequence of real numbers. It is not a differentiable function. Therefore, the analysis of properties of Macaulay’s duration by using the differentiable calculus is not justified. There are some papers known in the literature which analyse properties of Macaulay’s duration without the use of calculus, however the results presented there are not complete. In this paper we fill the gap by pointing out the shortcomings of the existing results regarding the non-calculus approach and completing the analysis of Macaulay’s duration considered as a sequence of real numbers.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA