Duration

This Issue in United States

Concept of Duration in Futures Trading

In this context of financial law, the following is a definition of Duration: A measure of a bond’s price sensitivity to changes in interest rates.

Duration

Concept of Duration in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A measure of the effective maturity of a bond. Duration is an approximation for the price change of a bond for a given change in the interest rate, and is used as a measure of sensitivity of bond prices to market changes. Duration is measured in units of time. It includes the effects of time until maturity, cash flows and the yield to maturity.

Resources

See Also

• Derivatives Contract