Macaulays Duration of non regular bond

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TRAXX
Posts: 5
Joined: Wed Jul 18, 2012 10:35 pm

Macaulays Duration of non regular bond

Postby TRAXX » Sat Mar 16, 2013 9:14 pm

Dear Professor,
I have a strange question on Macaulays Duration. The question is from polish version of CFA exam and it goes as follows: "if YTM of bond
is falling down then Macaulays Duration:
a) is rising
b) is falling
c) is changing, but direction of that change depends on bond's type
d) is changing or is staying the same, depends on the bond's type.
And the correct answer (in exam commision opinion) was D - ok, but for which types of bond? Definitely not regular bond so which ones?
Thank you very much in advance

Best regards

TRAXX
Posts: 5
Joined: Wed Jul 18, 2012 10:35 pm

Re: Macaulays Duration of non regular bond

Postby TRAXX » Fri Mar 22, 2013 4:05 pm

Ohhh. The answer is so simple. For a zero coupon bond, it will not change, because duration = maturity, no matter what the YTM is.
I am sorry for this.

Best regards


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