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The duration of a bond refers to how sensitive a bond is to changes in its interest rate. This works with the change in value of the bond according to annual interest rate changes. It suggests how far down a bond’s value will go when the interest rate goes up by one percentage point. For example, when a 15-year bond has a duration at 11 this means that the bond will decline in value by eleven percent if the annual interest rate goes up one percent.
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