Actuarial Outpost Modified Duration From Mid-Year Payments
 User Name Remember Me? Password
 Register Blogs Wiki FAQ Calendar Search Today's Posts Mark Forums Read
 FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

 Upload your resume securely at https://www.dwsimpson.com to be contacted when new jobs meet your skills and objectives.

 Financial Mathematics Old FM Forum

 Thread Tools Search this Thread Display Modes
#1
04-25-2019, 08:06 PM
 ARodOmaha Member SOA Join Date: May 2016 Location: Omaha, NE College: University of Nebraska (alma mater) Favorite beer: Captain Morgan Posts: 202
Modified Duration From Mid-Year Payments

I have a quick question for FM people. I have a series of payments that I am assuming are being paid mid year, i.e. t = 0.5, 1.5, 2.5, ..., 49.5. I've calculated the Macaulay duration using an interest rate of 5%. My question is, to get the Modified duration, what do I do? Multiply my answer by 1.05^-1, or 1.05^-0.5? Thanks!
__________________
P FM MLC MFE C PA FAP APC
#2
04-26-2019, 08:14 PM
 Academic Actuary Member Join Date: Sep 2009 Posts: 8,926

It doesn't matter when the payments are, the adjustment is the same. Technically is the rate was an nominal rate compounded mth ly you would divided by 1+ i(m)/m.

 Thread Tools Search this Thread Search this Thread: Advanced Search Display Modes Linear Mode

 Posting Rules You may not post new threads You may not post replies You may not post attachments You may not edit your posts BB code is On Smilies are On [IMG] code is On HTML code is Off

All times are GMT -4. The time now is 08:21 PM.

 -- Default Style - Fluid Width ---- Default Style - Fixed Width ---- Old Default Style ---- Easy on the eyes ---- Smooth Darkness ---- Chestnut ---- Apple-ish Style ---- If Apples were blue ---- If Apples were green ---- If Apples were purple ---- Halloween 2007 ---- B&W ---- Halloween ---- AO Christmas Theme ---- Turkey Day Theme ---- AO 2007 beta ---- 4th Of July Contact Us - Actuarial Outpost - Archive - Privacy Statement - Top

Powered by vBulletin®
Copyright ©2000 - 2019, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.23013 seconds with 11 queries