Duration & Dimension
In fixed income analysis, duration plays a central role as a proxy for interest rate risk exposure. Although this role relies on the interpretation of duration as (minus) the yield elasticity of the bond price, duration is measured as a bond's present value weighted average time to maturity and expressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. In this note we resolve this apparent duration paradox and show that duration is a pure number.
Hallerbach, W.G.P.M.. (1999). Duration & Dimension (No. TI 99-047/2). Retrieved from http://hdl.handle.net/1765/7721