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Duration

Capital Markets

A measure of how sensitive a bond's price is to a change in interest rates, expressed in years.

Duration weights each cash flow by when it arrives, so a bond paying most of its value at maturity has a longer duration than one paying a high coupon along the way. As an approximation, a bond with a duration of seven falls about 7% in price for a 100 basis point rise in yields.

It explains why long dated bonds move far more than short dated ones for the same yield change: more of their value sits in distant cash flows, and those are the most affected by discounting.

The same idea applies outside bonds. A growth company whose value sits mainly in a terminal value years away is long duration in exactly this sense, which is why such shares fall hardest when rates rise.

Matching duration matters in a DCF too: the risk free rate should come from a point on the yield curve that reflects how far out the cash flows extend.

Taught in context in Capital Markets: Debt, Equity and Leveraged FinanceSee the three modules that are free to read

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