Bond duration

Summary

In finance, the duration of a financial asset that consists of fixed cash flows, such as a bond, is the weighted average of the times until those fixed cash flows are received. When the price of an asset is considered as a function of yield, duration also measures the price sensitivity to yield, the rate of change of price with respect to yield, or the percentage change in price for a parallel shift in yields. The dual use of the word "duration", as both the weighted average time until repayment and as the percentage change in price, often causes confusion. Strictly speaking, Macaulay duration is the name given to the weighted average time until cash flows are received and is measured in years. Modified duration is the name given to the price sensitivity. It is (-1) times the rate of change in the price of a bond as a function of the change in its yield. Both measures are termed "duration" and have the same (or close to the same) numerical value, but it is important to keep in mind

Official source

https://en.wikipedia.org/wiki/Bond_duration

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Information percolation in segmented markets

Darrell Duffie, Semyon Malamud

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including initial information precision, and also in terms of market "connectivity," the expected frequency of their bilateral trading opportunities. We characterize endogenous information acquisition and show how learning externalities affect information gathering incentives. More "liquid" markets lead to higher equilibrium information acquisition when the gains from trade and market duration are sufficiently large. On the other hand, for a small market duration, the opposite may occur if agents vary sufficiently in terms of their market connectivity. (C) 2014 Published by Elsevier Inc.

Elsevier2014

Elsevier2015

Timescales of shock processes in chondritic and martian meteorites

Pierre Beck, Philippe Gillet

The accretion of the terrestrial planets from asteroid collisions and the delivery to the Earth of martian and lunar meteorites has been modelled extensively(1,2). Meteorites that have experienced shock waves from such collisions can potentially be used to reveal the accretion process at different stages of evolution within the Solar System. Here we have determined the peak pressure experienced and the duration of impact in a chondrite and a martian meteorite, and have combined the data with impact scaling laws to infer the sizes of the impactors and the associated craters on the meteorite parent bodies. The duration of shock events is inferred from trace element distributions between coexisting high-pressure minerals in the shear melt veins of the meteorites. The shock duration and the associated sizes of the impactor are found to be much greater in the chondrite (similar to 1 s and 5 km, respectively) than in the martian meteorite (similar to 10 ms and 100 m). The latter result compares well with numerical modelling studies of cratering on Mars, and we suggest that martian meteorites with similar, recent ejection ages (10(5) to 10(7) years ago)(3) may have originated from the same few square kilometres on Mars.

2005