| 释义 |
Modified duration Modified durationThe 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 DurationA 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) |