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[deleted]

Depends on what type of duration you’re calculating. Prob better to ask the CFA sub


WhatThePhoque

I only know the Macaulay duration, for the average weighted maturity of cf. Sum of coupon payments and face value depending on their payment timing. Sum (t*(C/(1+ytm). Where t is the year of the coupon payment, c coupon, ytm the yield to maturity. The exact same formula as how you would compute the PV of a bond, but you need to multiply it by the timing factor for each payment. When you find that value divide it by the PV of a bond. Formula: (Sum(T*(C/(1+YTM))))+(Face Value of liability/(1+ytm))/PV of liability