Modified duration

The ratio of Macaulay duration divided by (1 + y), where y = the bond yield. Modified duration is inversely related to the approximate percentage change in price for a given change in yield.

Modified Duration

A formula that attempts to explain a change in the price of a bond as a function of a change in interest rates. It is based on the assumption that rises in interest rates depress bond prices and drops in rates do the opposite. It is calculated as:

Modified Duration = Macauley Duration / (1 + YTM/Number of coupon payments per year)

单词	modified duration
释义	Modified duration Modified duration The ratio of Macaulay duration divided by (1 + y), where y = the bond yield. Modified duration is inversely related to the approximate percentage change in price for a given change in yield. Modified Duration A formula that attempts to explain a change in the price of a bond as a function of a change in interest rates. It is based on the assumption that rises in interest rates depress bond prices and drops in rates do the opposite. It is calculated as: Modified Duration = Macauley Duration / (1 + YTM/Number of coupon payments per year)
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