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久期理论是1938年由(F.R.Macaulay)麦考莱提出,所以又称为麦考莱久期。为了更好地把握债券的期限性质,把债券未来各期现金流收入作为权数对债券的期限进行加权平均,从而得出债券的久期。
The theory of duration is proposed by (F.R. Macacaulay) Macaulay in 1938, so it is also called the Macaulay period. In order to better grasp the maturity nature of the bonds, the bonds’ future maturities are obtained by weighted averaging the maturities of the bonds using the future cash flows of the bonds as weights.