Macauly Duration

[John267]

To calculate macauly duration, which yield to be taken as yield? is it market yield or purchasing yield ? which one is more accurate to apply to calculate portfolio duration? This is for a situation like 30 year bond now has 20 years to maturity.

 

[S2000magician]

It’s the bond’s current YTM.
I don’t know what you mean by purchasing yield, but market yield sounds like it fits the bill.

 

[John267]

Thank you S2000magician for your feedback. I mean yield at the time of purchasing the bill or bond as “purchasing yield”. This is from the financial institution’s angle. Duration calculated using the yield at the time of purchasing the bill does not sounds good. The market yield of the bond gives a better answer. to Am i right?

 

[S2000magician]

You are.