The nominal duration of TIPS bonds

Nominal effective duration of TIPS bonds is certainly of interest to fixed income portfolio managers that might have a desire to include such bonds in their portfolio. After all, the greater portion of a typical fixed income portfolio is in traditional, noninflation protected bonds whose major risk exposure is to changes in nominal rates. To properly assess the role of TIPS bonds in the portfolio, portfolio managers need information as to how TIPS bonds respond to the changes in nominal rates that are driving the price behavior of the bulk of the portfolio's assets. Prior to concluding the paper, we demonstrate how portfolio managers can calculate the nominal durations of coupon TIPS bonds using the zero-coupon duration formula we derive.