Ari B. Friedman
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 Aug13 answered How many explanatory variables is too many? Aug11 awarded Self-Learner Aug10 answered What data sources are available online? Aug10 awarded Scholar Aug10 accepted Closed-form formula for approximate maximum duration of a bond? Aug10 awarded Teacher Aug10 comment Modified Durations of Different Noncallable Bonds and function of Maturity The horizontal asymptote will always be at duration=(1 + 1/i) where i is the current market interest rate expressed in proportion terms (e.g. i=.05 for a 5% rate). Aug10 comment Modified Durations of Different Noncallable Bonds and function of Maturity See the answers to this question about how to calculate the maximum duration for some more references and graphs: quant.stackexchange.com/questions/1624/… Aug10 revised Closed-form formula for approximate maximum duration of a bond? added 7 characters in body Aug10 revised Closed-form formula for approximate maximum duration of a bond? solution Aug9 revised Closed-form formula for approximate maximum duration of a bond? added 9 characters in body Aug9 comment Closed-form formula for approximate maximum duration of a bond? Thanks for this. I'm still sorting through all this, but in re-reading both the Pianca paper and the Hawawini paper I am starting to realize that my previous lack of progress on this issue results from my assumption that the closed-form formulae for duration were approximations. By contrast, Pianca seems to use them as though they are exact. I'll have to work through the derivations and figure out whether they are, in fact, exact. If so, I can likely avoid the whole iterative algorithm and just go directly from maturity to duration. Aug9 awarded Editor Aug9 revised Closed-form formula for approximate maximum duration of a bond? added 1 characters in body Aug9 comment Closed-form formula for approximate maximum duration of a bond? These aren't actual bonds. This is portfolio generation, which is why working backwards is required. The idea is that you given that you already have a collection of (n-1) bonds in a portfolio with duration d and a target portfolio duration D, what is the maturity of the $n^{th}$ bond you should purchase to move the new d to D. Aug9 answered Closed-form formula for approximate maximum duration of a bond? Aug9 awarded Student Aug8 awarded Supporter Aug8 awarded Organizer Aug8 asked Closed-form formula for approximate maximum duration of a bond?