This article derives a new formula for the yield elasticity of bond price. The formula provides accurate results without resorting to complex mathematics, and gives new meaning to the concept of duration in fixed-income analysis

In fixed income analysis it is known that the various measures of interest rate sensitivity (duration) yield approximate results. Even with the addition of concepts like convexity, the results remain approximations. This paper summarizes a new approach based on the fact that the time value of...