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$\begingroup$ Hi, thanks for the response. If I wanted to support this professionally, is there any academic literature to back this methodology up? $\endgroup$
– FridaTheDog
Commented Mar 26, 2020 at 22:41
1

$\begingroup$ I’m sure there are as I’ve studied it. After running a quick search on Google you may find something here oreilly.com/library/view/bond-math-the/9781576603062/… I must say I don’t know what Oreilly is. $\endgroup$
– teoeme139
Commented Mar 27, 2020 at 12:29
2

$\begingroup$ The Oreilly web site is based on the book BOND MATH: The Theory Behind the Formulas by Donald J. Smith (2011,2014) , Bloomberg Press, ISBN: 9781576603062 so that is your academic reference for you. $\endgroup$
– nbbo2
Commented Mar 27, 2020 at 13:43
$\begingroup$ This answer does not address the question, which referred to the Macaulay duration. The latter can be defined - approximately - as -(1/P)(dP/dy), where P is the NPV of the instrument and y its yield. Your answer addresses the "dollar duration", which is defined as -dP/dy, but this is not what has been asked for. $\endgroup$
– Yannis
Commented Nov 20, 2020 at 10:03

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