Macaulay duration

Macaulay Duration is an important tool of measuring interest rate risk , but its assumptions with reality has seriously hampered its usefulness and accuracy .

本文首先简要阐述了传统的Macaulay久期模型，Macaulay久期模型是度量利率风险的重要工具，但由于其假设条件与现实不符而严重制约了其有用性和精确性。

Therefore , Macaulay duration model , while important , also has a lot of limitations . Many researchers made a lot of improvement on the basis of the Macaulay model .

因此，Macaulay久期模型尽管重要，但是其局限也很多，许多研究人员在Macaulay久期模型的基础上，提出了很多改进的久期模型和理论。

The traditional duration models contain Macaulay duration , Modified duration and Fisher-Weil duration . And the stochastic duration models contain two kinds of single-factor stochastic duration and a kind of two-factor stochastic duration .

包括各种传统的久期模型和随机久期模型，其中传统的久期模型本文分析了Macaulay久期、修正久期和Fisher-Weil久期，随机久期模型本文分析了两种单因子随机久期和一种双因子久期。