qfinbox.tvm.bonds.bond_duration

qfinbox.tvm.bonds.bond_duration(face_value: float, coupon_rate: float, years_to_maturity: float, yield_to_maturity: float, payments_per_year: int = 2) → float

Calculate Macaulay duration of a bond.

Parameters:

• face_value (float) – Face value of the bond.

• coupon_rate (float) – Annual coupon rate (as decimal).

• years_to_maturity (float) – Years until maturity.

• yield_to_maturity (float) – Yield to maturity (as decimal).

• payments_per_year (int, default 2) – Number of coupon payments per year.

Returns:

Macaulay duration in years.

Return type:

float

Examples

>>> bond_duration(1000, 0.06, 10, 0.08)
7.25