HomeDefinitionsCompareDebt Duration driftThe financial definition for Duration drift:Change in duration attributable to the passage of time. Similar MatchesDuration matching strategyDuration matching strategyAn immunization technique that matches immunization duration with the duration of the liabilities. Macaulay durationMacaulay durationThe weighted-average term to maturity of the cash flows from a bond, where the weights are the present value of the cash flow divided by the price. Mortgage durationMortgage durationA modification of standard duration to account for the impact on duration of MBSs of changes in prepayment speed resulting from changes in interest rates. Two factors are employed: one that reflects the impact of changes in prepayment speed or price. Further SuggestionsNegative durationClick to compare definitions of Duration drift Click to view definitions beginning du |