Knowledge (XXG)

Weighted-average life

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1132: 453:(including both principal and interest), while WAL is the weighted-average time to receive simply the principal payments (not including interest, and not discounting). For an amortizing loan with equal payments, the WAL will be higher than the duration, as the early payments are weighted towards interest, while the later payments are weighted towards principal, and further, taking present value (in duration) discounts the later payments. 816: 1127:{\displaystyle {\begin{aligned}{\text{WAL}}&=\sum _{i=1}^{n}{\frac {P_{i}}{P}}t_{i}\\{\text{WAL}}\times P&=\sum _{i=1}^{n}P_{i}t_{i}&&=\sum _{i=1}^{n}P_{i}{\frac {i}{12}}\\{\text{WAL}}\times P\times r&=\sum _{i=1}^{n}iP_{i}{\frac {r}{12}}&&={\frac {r}{12}}\sum _{i=1}^{n}iP_{i}\end{aligned}}} 505:
WAL is a measure that can be useful in credit risk analysis on fixed income securities, bearing in mind that the main credit risk of a loan is the risk of loss of principal. All else equal, a bond with principal outstanding longer (i.e., longer WAL) has greater credit risk than a bond with shorter
417:, the WAL cannot be computed from the amortization schedule alone; one must also make assumptions about the prepayment and default behavior, and the quoted WAL will be an estimate. The WAL is usually computed from a single cash-flow sequence. Occasionally, a 1243: 616:
Note that as the interest rate increases, WAL increases, since the principal payments become increasingly back-loaded. WAL is independent of the principal balance, though payments and total interest are proportional to principal.
536:
On a 30-year amortizing loan, paying equal amounts monthly, one has the following WALs, for the given annual interest rates (and corresponding monthly payments per $ 100,000 principal balance, calculated via an
120: 1370: 1970: 513:
WAL should not be used to estimate a bond's price-sensitivity to interest-rate fluctuations, as WAL includes only the principal cash flows, omitting the interest payments. Instead, one should use
821: 1537: 1884: 714: 379: 479:
than half the principal will have been paid off at the WAL. Intuitively, this is because most of the principal repayment happens at the end. Formally, the distribution of repayments has
1614: 766:
More rigorously, one can derive the result as follows. To ease exposition, assume that payments are monthly, so periodic interest rate is annual interest rate divided by 12, and time
1915: 756: 666: 231: 1652: 805: 399: 1709: 1400: 1679: 1435: 1273: 331: 280: 175: 1830: 1801: 300: 251: 195: 146: 1143: 620:
For a coupon of 0%, where the principal amortizes linearly, the WAL is exactly half the tenor plus half a payment period, because principal is repaid
1654:. This is demonstrated in the following table, which shows the amortization schedule, broken up into principal repayments, where each column is a 1372:. Both of these quantities are the time-weighted total principal of the bond (in periods), and they are simply different ways of slicing it: the 730:
This can be understood intuitively as: "The average dollar of principal is outstanding for the WAL, hence the interest on the average dollar is
49: 1566:
For instance, if the principal amortized as $ 100, $ 80, $ 50 (with paydowns of $ 20, $ 30, $ 50), then the sum would on the one hand be
2070: 2032: 2015: 1290: 2110: 1923: 2049: 1451: 1838: 682: 336: 1569: 489: 2115: 2085: 538: 483:: the small principal repayments at the beginning drag down the WAL (mean) more than they reduce the median. 1892: 733: 631: 422: 2090: 202: 1619: 1563: − 1 periods, and so forth. Using this, the sums can be re-arranged to be equal. 414: 769: 2066: 384: 1780:, one can compute the WAL without knowing the amortization schedule. The total payments are 1684: 1375: 472: 33: 1657: 1413: 1251: 309: 258: 153: 2095: 1806: 1776:
The above can be reversed: given the terms (principal, tenor, rate) and amortized payment
402: 25: 533:(non-amortizing) is exactly the tenor, as the principal is repaid precisely at maturity. 1999: 1783: 1238:{\displaystyle \sum _{i=1}^{n}Q_{i}{\frac {r}{12}}={\frac {r}{12}}\sum _{i=1}^{n}Q_{i},} 1988: 285: 236: 180: 131: 2104: 514: 480: 445: 440: 530: 621: 541:
and the formulas below relating amortized payments, total interest, and WAL):
506:
WAL. In particular, WAL is often used as the basis for yield comparisons in
758:, and now one multiplies by the principal to get total interest payments." 507: 421:
may be computed from multiple cash-flow scenarios, such as those from an
676:
WAL allows one to easily compute the total interest payments, given by:
17: 1889:
Similarly, the total interest as percentage of principal is given by
628:
of the period). So for a 30-year 0% loan, paying monthly, the WAL is
468: 464: 115:{\displaystyle {\text{WAL}}=\sum _{i=1}^{n}{\frac {P_{i}}{P}}t_{i},} 233:
is the fraction of the total principal that is included in payment
1287:
interest payment is based). The statement reduces to showing that
433:
WAL should not be confused with the following distinct concepts:
460: 40:: it's the average time until a dollar of principal is repaid. 1559: − 1)th) principal payment is outstanding for 1555:
periods, while the principal paid off by the second to last ((
282:
is the time (in years) from the calculation date to payment
1365:{\displaystyle \sum _{i=1}^{n}iP_{i}=\sum _{i=1}^{n}Q_{i}} 496:
of multiple loans, not an average of principal repayments.
1547:
principal payments. The principal paid off by the last (
443:
is the weighted-average time to receive the discounted
177:
is the principal repayment that is included in payment
1965:{\displaystyle {\text{WAL}}\times r={\frac {An-P}{P}}} 1926: 1895: 1841: 1809: 1786: 1687: 1660: 1622: 1572: 1454: 1416: 1378: 1293: 1254: 1146: 819: 807:(time in years is period number in months, over 12). 772: 736: 685: 634: 387: 339: 312: 288: 261: 239: 205: 183: 156: 134: 52: 1406:each dollar of principal is outstanding (it slices 1964: 1909: 1878: 1824: 1795: 1703: 1673: 1646: 1608: 1531: 1429: 1394: 1364: 1267: 1237: 1126: 799: 750: 708: 660: 393: 373: 325: 294: 274: 245: 225: 189: 169: 140: 114: 1532:{\displaystyle Q_{n}=P_{n},Q_{n-1}=P_{n}+P_{n-1}} 1879:{\displaystyle {\text{WAL}}={\frac {An-P}{Pr}}} 1539:, and so forth: the principal outstanding when 456:Time until 50% of the principal has been repaid 1543:periods remain is exactly the sum of the next 475:(of time) for a flat payment amortizing loan, 1551:th) principal payment is outstanding for all 709:{\displaystyle {\text{WAL}}\times r\times P,} 8: 374:{\displaystyle {\frac {1}{12}}(i+\alpha -1)} 463:, while "50% of the principal repaid" is a 1609:{\displaystyle 20+2\cdot 30+3\cdot 50=230} 1941: 1927: 1925: 1896: 1894: 1850: 1842: 1840: 1808: 1785: 1695: 1686: 1665: 1659: 1621: 1571: 1517: 1504: 1485: 1472: 1459: 1453: 1437:counts how much principal is outstanding 1421: 1415: 1386: 1377: 1356: 1346: 1335: 1322: 1309: 1298: 1292: 1259: 1253: 1226: 1216: 1205: 1191: 1178: 1172: 1162: 1151: 1145: 1114: 1101: 1090: 1076: 1058: 1052: 1039: 1028: 1000: 986: 980: 970: 959: 941: 931: 921: 910: 888: 878: 863: 857: 851: 840: 824: 820: 818: 789: 777: 771: 737: 735: 686: 684: 644: 633: 386: 340: 338: 317: 311: 287: 266: 260: 238: 212: 206: 204: 182: 161: 155: 133: 103: 88: 82: 76: 65: 53: 51: 1713: 543: 2063:The handbook of fixed income securities 2045: 2028: 2011: 1981: 7: 1910:{\displaystyle {\text{WAL}}\times r} 1803:and the total interest payments are 1772:Computing WAL from amortized payment 1275:is the principal outstanding at the 751:{\displaystyle {\text{WAL}}\times r} 661:{\displaystyle 15+1/24\approx 15.04} 471:. Since principal outstanding is a 401:is the fraction of a month between 469:difference between mean and median 226:{\displaystyle {\frac {P_{i}}{P}}} 14: 1616:, and on the other hand would be 1283:(it's the principal on which the 723:is the annual interest rate and 28:or amortizing bond, also called 486:Weighted-average maturity (WAM) 368: 350: 1: 1647:{\displaystyle 100+80+50=230} 607:$ 270,229.60/($ 100,000*12%) 596: 590:$ 164,153.60/($ 100,000*8%) 579: 562: 22:weighted-average life (WAL) 2132: 2061:Fabozzi, Frank J. (2000), 800:{\displaystyle t_{i}=i/12} 727:is the initial principal. 573:$ 71,871.20/($ 100,000*4%) 405:and first cash flow date. 381:for a monthly bond, where 148:is the (total) principal, 2086:Amortization calculator 539:amortization calculator 409:WAL of classes of loans 394:{\displaystyle \alpha } 1966: 1911: 1880: 1826: 1797: 1705: 1704:{\displaystyle iP_{i}} 1675: 1648: 1610: 1533: 1431: 1396: 1395:{\displaystyle iP_{i}} 1366: 1351: 1314: 1269: 1239: 1221: 1167: 1128: 1106: 1044: 975: 926: 856: 801: 752: 710: 662: 423:option-adjusted spread 419:simulated average life 395: 375: 327: 296: 276: 247: 227: 191: 171: 142: 116: 81: 2111:Fixed income analysis 2091:Amortization schedule 1967: 1912: 1881: 1827: 1798: 1706: 1676: 1674:{\displaystyle Q_{i}} 1649: 1611: 1534: 1439:at each point in time 1432: 1430:{\displaystyle Q_{i}} 1397: 1367: 1331: 1294: 1270: 1268:{\displaystyle Q_{i}} 1240: 1201: 1147: 1129: 1086: 1024: 955: 906: 836: 802: 753: 711: 663: 517:, which incorporates 492:is an average of the 396: 376: 328: 326:{\displaystyle t_{i}} 297: 277: 275:{\displaystyle t_{i}} 248: 228: 192: 172: 170:{\displaystyle P_{i}} 143: 117: 61: 1976:Notes and references 1924: 1893: 1839: 1825:{\displaystyle An-P} 1807: 1784: 1685: 1658: 1620: 1570: 1452: 1414: 1376: 1291: 1252: 1144: 817: 770: 734: 683: 632: 413:In loans that allow 385: 337: 310: 286: 259: 237: 203: 181: 154: 132: 50: 38:principal repayments 36:of the times of the 1448:Working backwards, 333:can be expanded as 2000:Bloomberg Glossary 1962: 1907: 1876: 1822: 1796:{\displaystyle An} 1793: 1701: 1681:, and each row is 1671: 1644: 1606: 1529: 1427: 1392: 1362: 1265: 1235: 1137:Total interest is 1124: 1122: 797: 748: 706: 658: 391: 371: 323: 292: 272: 243: 223: 187: 167: 138: 112: 1960: 1930: 1899: 1874: 1845: 1832:, so the WAL is: 1769: 1768: 1199: 1186: 1084: 1066: 1003: 994: 891: 872: 827: 740: 689: 614: 613: 348: 295:{\displaystyle i} 246:{\displaystyle i} 221: 190:{\displaystyle i} 141:{\displaystyle P} 97: 56: 2123: 2075: 2053: 2042: 2036: 2025: 2019: 2008: 2002: 1997: 1991: 1986: 1971: 1969: 1968: 1963: 1961: 1956: 1942: 1931: 1928: 1916: 1914: 1913: 1908: 1900: 1897: 1885: 1883: 1882: 1877: 1875: 1873: 1865: 1851: 1846: 1843: 1831: 1829: 1828: 1823: 1802: 1800: 1799: 1794: 1714: 1710: 1708: 1707: 1702: 1700: 1699: 1680: 1678: 1677: 1672: 1670: 1669: 1653: 1651: 1650: 1645: 1615: 1613: 1612: 1607: 1538: 1536: 1535: 1530: 1528: 1527: 1509: 1508: 1496: 1495: 1477: 1476: 1464: 1463: 1436: 1434: 1433: 1428: 1426: 1425: 1401: 1399: 1398: 1393: 1391: 1390: 1371: 1369: 1368: 1363: 1361: 1360: 1350: 1345: 1327: 1326: 1313: 1308: 1274: 1272: 1271: 1266: 1264: 1263: 1244: 1242: 1241: 1236: 1231: 1230: 1220: 1215: 1200: 1192: 1187: 1179: 1177: 1176: 1166: 1161: 1133: 1131: 1130: 1125: 1123: 1119: 1118: 1105: 1100: 1085: 1077: 1069: 1067: 1059: 1057: 1056: 1043: 1038: 1004: 1001: 995: 987: 985: 984: 974: 969: 948: 946: 945: 936: 935: 925: 920: 892: 889: 883: 882: 873: 868: 867: 858: 855: 850: 828: 825: 806: 804: 803: 798: 793: 782: 781: 757: 755: 754: 749: 741: 738: 715: 713: 712: 707: 690: 687: 667: 665: 664: 659: 648: 544: 521:the cash flows. 473:concave function 429:Related concepts 400: 398: 397: 392: 380: 378: 377: 372: 349: 341: 332: 330: 329: 324: 322: 321: 301: 299: 298: 293: 281: 279: 278: 273: 271: 270: 252: 250: 249: 244: 232: 230: 229: 224: 222: 217: 216: 207: 196: 194: 193: 188: 176: 174: 173: 168: 166: 165: 147: 145: 144: 139: 121: 119: 118: 113: 108: 107: 98: 93: 92: 83: 80: 75: 57: 54: 34:weighted average 2131: 2130: 2126: 2125: 2124: 2122: 2121: 2120: 2101: 2100: 2096:Amortizing loan 2082: 2073: 2060: 2057: 2056: 2043: 2039: 2026: 2022: 2009: 2005: 1998: 1994: 1987: 1983: 1978: 1943: 1922: 1921: 1891: 1890: 1866: 1852: 1837: 1836: 1805: 1804: 1782: 1781: 1774: 1691: 1683: 1682: 1661: 1656: 1655: 1618: 1617: 1568: 1567: 1513: 1500: 1481: 1468: 1455: 1450: 1449: 1417: 1412: 1411: 1402:sum counts how 1382: 1374: 1373: 1352: 1318: 1289: 1288: 1255: 1250: 1249: 1222: 1168: 1142: 1141: 1121: 1120: 1110: 1068: 1048: 1017: 997: 996: 976: 947: 937: 927: 899: 885: 884: 874: 859: 829: 815: 814: 773: 768: 767: 764: 732: 731: 681: 680: 674: 630: 629: 556:WAL Calculation 527: 503: 431: 411: 403:settlement date 383: 382: 335: 334: 313: 308: 307: 284: 283: 262: 257: 256: 235: 234: 208: 201: 200: 179: 178: 157: 152: 151: 130: 129: 99: 84: 48: 47: 26:amortizing loan 12: 11: 5: 2129: 2127: 2119: 2118: 2116:Bond valuation 2113: 2103: 2102: 2099: 2098: 2093: 2088: 2081: 2078: 2077: 2076: 2071: 2055: 2054: 2037: 2020: 2003: 1992: 1989:PIMCO glossary 1980: 1979: 1977: 1974: 1973: 1972: 1959: 1955: 1952: 1949: 1946: 1940: 1937: 1934: 1906: 1903: 1887: 1886: 1872: 1869: 1864: 1861: 1858: 1855: 1849: 1821: 1818: 1815: 1812: 1792: 1789: 1773: 1770: 1767: 1766: 1763: 1760: 1757: 1753: 1752: 1750: 1747: 1744: 1740: 1739: 1737: 1735: 1732: 1728: 1727: 1724: 1721: 1718: 1698: 1694: 1690: 1668: 1664: 1643: 1640: 1637: 1634: 1631: 1628: 1625: 1605: 1602: 1599: 1596: 1593: 1590: 1587: 1584: 1581: 1578: 1575: 1526: 1523: 1520: 1516: 1512: 1507: 1503: 1499: 1494: 1491: 1488: 1484: 1480: 1475: 1471: 1467: 1462: 1458: 1424: 1420: 1389: 1385: 1381: 1359: 1355: 1349: 1344: 1341: 1338: 1334: 1330: 1325: 1321: 1317: 1312: 1307: 1304: 1301: 1297: 1262: 1258: 1246: 1245: 1234: 1229: 1225: 1219: 1214: 1211: 1208: 1204: 1198: 1195: 1190: 1185: 1182: 1175: 1171: 1165: 1160: 1157: 1154: 1150: 1135: 1134: 1117: 1113: 1109: 1104: 1099: 1096: 1093: 1089: 1083: 1080: 1075: 1072: 1070: 1065: 1062: 1055: 1051: 1047: 1042: 1037: 1034: 1031: 1027: 1023: 1020: 1018: 1016: 1013: 1010: 1007: 999: 998: 993: 990: 983: 979: 973: 968: 965: 962: 958: 954: 951: 949: 944: 940: 934: 930: 924: 919: 916: 913: 909: 905: 902: 900: 898: 895: 887: 886: 881: 877: 871: 866: 862: 854: 849: 846: 843: 839: 835: 832: 830: 823: 822: 796: 792: 788: 785: 780: 776: 763: 760: 747: 744: 717: 716: 705: 702: 699: 696: 693: 673: 672:Total Interest 670: 657: 654: 651: 647: 643: 640: 637: 612: 611: 608: 605: 602: 599: 595: 594: 591: 588: 585: 582: 578: 577: 574: 571: 568: 565: 561: 560: 557: 554: 553:Total Interest 551: 548: 526: 523: 510:calculations. 502: 499: 498: 497: 494:maturity dates 487: 484: 457: 454: 446:present values 438: 430: 427: 410: 407: 390: 370: 367: 364: 361: 358: 355: 352: 347: 344: 320: 316: 304: 303: 291: 269: 265: 254: 242: 220: 215: 211: 198: 186: 164: 160: 149: 137: 123: 122: 111: 106: 102: 96: 91: 87: 79: 74: 71: 68: 64: 60: 43:In a formula, 13: 10: 9: 6: 4: 3: 2: 2128: 2117: 2114: 2112: 2109: 2108: 2106: 2097: 2094: 2092: 2089: 2087: 2084: 2083: 2079: 2074: 2072:0-87094-985-3 2068: 2064: 2059: 2058: 2051: 2047: 2041: 2038: 2034: 2030: 2024: 2021: 2017: 2013: 2007: 2004: 2001: 1996: 1993: 1990: 1985: 1982: 1975: 1957: 1953: 1950: 1947: 1944: 1938: 1935: 1932: 1920: 1919: 1918: 1904: 1901: 1870: 1867: 1862: 1859: 1856: 1853: 1847: 1835: 1834: 1833: 1819: 1816: 1813: 1810: 1790: 1787: 1779: 1771: 1764: 1761: 1758: 1755: 1754: 1751: 1748: 1745: 1742: 1741: 1738: 1736: 1733: 1730: 1729: 1725: 1722: 1719: 1716: 1715: 1712: 1696: 1692: 1688: 1666: 1662: 1641: 1638: 1635: 1632: 1629: 1626: 1623: 1603: 1600: 1597: 1594: 1591: 1588: 1585: 1582: 1579: 1576: 1573: 1564: 1562: 1558: 1554: 1550: 1546: 1542: 1524: 1521: 1518: 1514: 1510: 1505: 1501: 1497: 1492: 1489: 1486: 1482: 1478: 1473: 1469: 1465: 1460: 1456: 1446: 1444: 1440: 1422: 1418: 1410:), while the 1409: 1405: 1387: 1383: 1379: 1357: 1353: 1347: 1342: 1339: 1336: 1332: 1328: 1323: 1319: 1315: 1310: 1305: 1302: 1299: 1295: 1286: 1282: 1278: 1260: 1256: 1232: 1227: 1223: 1217: 1212: 1209: 1206: 1202: 1196: 1193: 1188: 1183: 1180: 1173: 1169: 1163: 1158: 1155: 1152: 1148: 1140: 1139: 1138: 1115: 1111: 1107: 1102: 1097: 1094: 1091: 1087: 1081: 1078: 1073: 1071: 1063: 1060: 1053: 1049: 1045: 1040: 1035: 1032: 1029: 1025: 1021: 1019: 1014: 1011: 1008: 1005: 991: 988: 981: 977: 971: 966: 963: 960: 956: 952: 950: 942: 938: 932: 928: 922: 917: 914: 911: 907: 903: 901: 896: 893: 879: 875: 869: 864: 860: 852: 847: 844: 841: 837: 833: 831: 813: 812: 811: 808: 794: 790: 786: 783: 778: 774: 761: 759: 745: 742: 728: 726: 722: 703: 700: 697: 694: 691: 679: 678: 677: 671: 669: 655: 652: 649: 645: 641: 638: 635: 627: 623: 618: 609: 606: 603: 600: 597: 592: 589: 586: 583: 580: 575: 572: 569: 566: 563: 558: 555: 552: 549: 546: 545: 542: 540: 534: 532: 529:The WAL of a 524: 522: 520: 516: 515:bond duration 511: 509: 500: 495: 491: 488: 485: 482: 481:negative skew 478: 474: 470: 466: 462: 458: 455: 452: 448: 447: 442: 441:Bond duration 439: 437:Bond duration 436: 435: 434: 428: 426: 424: 420: 416: 408: 406: 404: 388: 365: 362: 359: 356: 353: 345: 342: 318: 314: 289: 267: 263: 255: 240: 218: 213: 209: 199: 184: 162: 158: 150: 135: 128: 127: 126: 109: 104: 100: 94: 89: 85: 77: 72: 69: 66: 62: 58: 46: 45: 44: 41: 39: 35: 31: 27: 23: 19: 2062: 2046:Fabozzi 2000 2040: 2029:Fabozzi 2000 2023: 2012:Fabozzi 2000 2006: 1995: 1984: 1888: 1777: 1775: 1756:3 × 50 1743:2 × 30 1731:1 × 20 1565: 1560: 1556: 1552: 1548: 1544: 1540: 1447: 1442: 1438: 1408:horizontally 1407: 1403: 1284: 1280: 1276: 1247: 1136: 809: 765: 729: 724: 720: 718: 675: 625: 619: 615: 604:$ 270,299.60 587:$ 164,153.60 535: 528: 518: 512: 504: 501:Applications 493: 476: 450: 444: 432: 418: 412: 306:If desired, 305: 124: 42: 37: 30:average life 29: 21: 15: 2033:pp. 616–617 2016:pp. 588–589 1441:(it slices 570:$ 71,871.20 531:bullet loan 449:of all the 2105:Categories 1443:vertically 1279:of period 622:in arrears 601:$ 1,028.61 451:cash flows 415:prepayment 1951:− 1933:× 1902:× 1860:− 1817:− 1595:⋅ 1583:⋅ 1522:− 1490:− 1333:∑ 1296:∑ 1277:beginning 1203:∑ 1149:∑ 1088:∑ 1026:∑ 1012:× 1006:× 957:∑ 908:∑ 894:× 838:∑ 743:× 698:× 692:× 653:≈ 459:WAL is a 389:α 363:− 360:α 63:∑ 32:, is the 2080:See also 624:(at the 584:$ 733.76 567:$ 477.42 525:Examples 508:I-spread 668:years. 550:Payment 425:model. 197:, hence 125:where: 18:finance 2069:  2050:p. 805 1248:where 810:Then: 719:where 610:22.52 593:20.52 576:17.97 467:; see 465:median 24:of an 20:, the 762:Proof 656:15.04 253:, and 2067:ISBN 1404:long 559:WAL 547:Rate 477:less 461:mean 1929:WAL 1898:WAL 1844:WAL 1765:50 1726:50 1720:100 1717:230 1642:230 1624:100 1604:230 1445:). 1002:WAL 890:WAL 826:WAL 739:WAL 688:WAL 626:end 598:12% 519:all 490:WAM 55:WAL 16:In 2107:: 2065:, 2048:, 2031:, 2014:, 1917:: 1762:50 1759:50 1749:30 1746:30 1734:20 1723:80 1711:: 1636:50 1630:80 1598:50 1586:30 1574:20 1197:12 1184:12 1082:12 1064:12 992:12 795:12 650:24 636:15 581:8% 564:4% 346:12 2052:) 2044:( 2035:) 2027:( 2018:) 2010:( 1958:P 1954:P 1948:n 1945:A 1939:= 1936:r 1905:r 1871:r 1868:P 1863:P 1857:n 1854:A 1848:= 1820:P 1814:n 1811:A 1791:n 1788:A 1778:A 1697:i 1693:P 1689:i 1667:i 1663:Q 1639:= 1633:+ 1627:+ 1601:= 1592:3 1589:+ 1580:2 1577:+ 1561:n 1557:n 1553:n 1549:n 1545:k 1541:k 1525:1 1519:n 1515:P 1511:+ 1506:n 1502:P 1498:= 1493:1 1487:n 1483:Q 1479:, 1474:n 1470:P 1466:= 1461:n 1457:Q 1423:i 1419:Q 1388:i 1384:P 1380:i 1358:i 1354:Q 1348:n 1343:1 1340:= 1337:i 1329:= 1324:i 1320:P 1316:i 1311:n 1306:1 1303:= 1300:i 1285:i 1281:i 1261:i 1257:Q 1233:, 1228:i 1224:Q 1218:n 1213:1 1210:= 1207:i 1194:r 1189:= 1181:r 1174:i 1170:Q 1164:n 1159:1 1156:= 1153:i 1116:i 1112:P 1108:i 1103:n 1098:1 1095:= 1092:i 1079:r 1074:= 1061:r 1054:i 1050:P 1046:i 1041:n 1036:1 1033:= 1030:i 1022:= 1015:r 1009:P 989:i 982:i 978:P 972:n 967:1 964:= 961:i 953:= 943:i 939:t 933:i 929:P 923:n 918:1 915:= 912:i 904:= 897:P 880:i 876:t 870:P 865:i 861:P 853:n 848:1 845:= 842:i 834:= 791:/ 787:i 784:= 779:i 775:t 746:r 725:P 721:r 704:, 701:P 695:r 646:/ 642:1 639:+ 369:) 366:1 357:+ 354:i 351:( 343:1 319:i 315:t 302:. 290:i 268:i 264:t 241:i 219:P 214:i 210:P 185:i 163:i 159:P 136:P 110:, 105:i 101:t 95:P 90:i 86:P 78:n 73:1 70:= 67:i 59:=

Index

finance
amortizing loan
weighted average
settlement date
prepayment
option-adjusted spread
Bond duration
present values
mean
median
difference between mean and median
concave function
negative skew
WAM
I-spread
bond duration
bullet loan
amortization calculator
in arrears
PIMCO glossary
Bloomberg Glossary
Fabozzi 2000
pp. 588–589
Fabozzi 2000
pp. 616–617
Fabozzi 2000
p. 805
ISBN
0-87094-985-3
Amortization calculator

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