Can someone refresh my memory and simply explain the relationship between YTM and Duration?
Why is Duration higher at lower YTMs? I realize that higher coupons mean a lower duration, but what is usually the relationship between the lower coupons and YTM?
The Macaulay duration is the weighted average term to maturity of the cash flows from a bond. The weight of each cash flow is determined by dividing the present value of the cash flow by the price.
and this PV is calculated at the YTM of the bond, typically.