Memorizing Necessary: Closed-form Macaulay Duration?

CFA Level I
#1

I was told that I have to memorize an insanely long formula in order to calculate MacDur in closed-form.

Is it worth it to memorize it?

#2

It’s not insanely long; it’s:

Mdur = [Σ (PV(CF_i_))(time to CF_i_)] / [Σ(PV(CF_i_))]

#3

I have this formula, given just N = # of periods, I/Y = r, c = coupon rate, and t = time that has passed since the last coupon PMT.

MacDur = { (1 + r) / r } - { 1 + r [N ( c - r ) )] / { c [(1 + r)^N - 1] + r } - { t / T }

#4

You don’t need to know that one.

#5

Thank you :slight_smile:

#6

My pleasure.