# weighted average maturity = weighted average duration?

I have a spreadsheet where for each position, principal cost*days to remaining to maturity = dollars days

then it sums up all the dollar days …then total dollars days / total principal cost = duration of portfolio

i was thinking this is more of a weighted average maturity (WAM) calculation

so, what I did was calculate the effective duration for each position (V+ - V-)/(2*V0*change in yield) …then effective duration*weight of portfolio …summed it all up and I got a value that was practically identical to the WAM calculation

Why is this so? Is it because the change in yields weren’t large enough? Or is it because the most of the positions aren’t long in maturity (portfolio concentrated in 2 and 5 yr buckets)

WAM is the weighted average time until the bond is paid off, not the weighted average time to each payment.

so the spreadsheet is calculating WAM, correct? because it’s multiplying by “days left TO MATRUITY” (ie when the bond matures/paid off)

even so, why is the duration and WAM identical

They shouldn’t be.

I suspect that there’s something amiss in the spreadsheet.

ya theyre not identical…the WAM is 257.74 days, the WA Duration is 258.72 days…so is it typical to be close when the portfolio doesnt have long maturities?

If the bonds pay coupons, the duration should be shorter than the time to maturity.

Something’s wonky.