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Author: jrr7 Big gold star, 5000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 35367  
Subject: Re: "Long Bond" - buying and rolling Date: 2/20/2006 2:20 PM
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Duration is the weighted average of the times of the cash flow, there is nothing in the equation for interest rates. (no discount)

Now, if we are talking about a modified duration in some form, then I would be happy to get on the same page, this may be just a definition question, just let me know what you are calling duration.


You're right, I was being sloppy. I was thinking about a modified duration where future cash flows are discounted.

I disagree that there is an implied call option because you do not know in advance the price or yield that you wil be buying at. I had called it an implied put option because you do know in advance the price (par) that you will be selling at, but that's not right either. So my conception of a bond ladder as a synthetic variable-rate perpetual bond is flawed. Oh well, back to the drawing board.
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