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ssstaud's avatar
ssstaud
Frequent Visitor
5 years ago

Weighted average maturity

Hello, I am working with bonds. (People give you money, you have to give it back eventually)  Basically I am trying to create a graph with weighted time to maturity (the time the company has to...
Need Help
  • ssstaud's avatar
    ssstaud
    Frequent Visitor
    5 years ago

    Sadly this does not help as this graph deals with dynamic time. I will try to depict my problem better this time.

     

    What are the important values here:
    mature_at: the time when our company has to pay the money back to the client 
    amount: how much money we have to pay back (i.e. the weight)


    The calculation logic is better described by this:

     

    How it works: Lets say that in may 2016 a person bought a bond that matures in 5 yrs for the amount of $100. So WAM is for may 5 yrs. For June 2016 it is 4 yrs 11 months.
    In July sb. bought a bond of the same value of $100 that also matures in 5 yrs. So for July 2016 the WAM is 4 yrs 11 months, because:

     

    And the graph should look like this (eventually ending in a zero, because all the bonds matured i.e. the money was given back to the client) 

     

     

    Thank you once again for helping me!